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Rating change probabilities: An empirical analysis of sovereign ratings

Name: Rating change probabilities: An empirical analysis of sovereign ratings
Price: 27.95 EUR
Availability: InStock
Author: Alex Bergen
ISBN: 978-3-656-47082-3

Bachelor Thesis, 2012

48 Pages, Grade: 1,0

Alex Bergen (Author)

Excerpt

List of Figures

List of Tables

1 Introduction

2 Previous Literature

3 Agencies’ rating assessment
3.1 Rating Definitions and Methodology
3.2 Rating Transition Matrices

4 Ordered Probit Model
4.1 Mathematical Framework
4.2 Model parameters
4.3 Marginal effects

5 Data
5.1 Data summary
5.2 Independent Variables and direction of change
5.3 Choice of Variables

6 Estimation
6.1 Simple Ordered Probit Model
6.2 Random Effects Ordered Probit Model
6.3 Marginal Effects

7 Predicted Probabilities and Transition matrices
7.1 Predicted Probabilities
7.2 Unconditional Transition Matrices
7.3 Conditional Transition Matrices

8 Conclusion

Appendix

References

Excerpt out of 48 pages

Details

Title: Rating change probabilities: An empirical analysis of sovereign ratings
College: University of Mannheim
Grade: 1,0
Author: Alex Bergen (Author)
Year: 2012
Pages: 48
Catalog Number: V231459
ISBN (eBook): 9783656470809
ISBN (Book): 9783656470823
File size: 1026 KB
Language: English
Notes: Die Bachelorarbeit wurde mit dem 1. Platz beim Karrierepreis der DZ Bank Gruppe (2013) ausgezeichnet. Dies ist der höchstdotierte Hochschulpreis der Deutschen Wirtschaft für Akademische Abschlussarbeiten im Bereich "Banking &amp, Finance": www.karriere-preis.de
Keywords: Economics, Rating, Ordered Probit Model, Volkswirtschaftslehre, VWL, Finance, Econometrics, Statistik, Markov Chain, Transition Matrix, Ökonometrie, Banking

Quote paper: Alex Bergen (Author), 2012, Rating change probabilities: An empirical analysis of sovereign ratings, Munich, GRIN Verlag, https://www.grin.com/document/231459

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