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Rating change probabilities: An empirical analysis of sovereign ratings

Rating change probabilities: An empirical analysis of sovereign ...

Inhalt

Bachelor Thesis from the year 2012 in the subject Business economics - Banking, Stock Exchanges, Insurance, Accounting, grade: 1,0, University of Mannheim, language: English, abstract: In my Bachelor thesis I analyze the determinants of rating changes and the variables'marginal effects on rating change probabilities. Based on my results, I present transition matrices by computing transition probabilities. Furthermore, I analyze subsamples of my data set, conditional on the business cycle and the economic strength of a country, by using interaction effects. I thereby verify whether or how the transition matrices change by including interaction effects.I apply a latent variable approach, using an ordered probit model, to calculate the effects of different variables on the probabilities of rating changes.

Bibliografische Angaben

Juli 2013, 48 Seiten, Englisch
GRIN VERLAG
9783656470809

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