Credit Ratings across Asset Classes
Kimberly Rodgers Cornaggia
American University - Kogod School of Business
Rice University - Jesse H. Jones School of Management
August 21, 2013
We employ a comprehensive database of credit rating histories to compare the performance of credit ratings across broad asset classes and across types of structured products. We observe significant differences in default rates by rating, transition statistics, instantaneous upgrade and downgrade intensities, accuracy ratios, and other metrics. Some of these differences persist over our entire 30-year sample period. These results imply not only that outcomes of the rating process differ across asset classes, but also that asset classes have fundamentally different underlying rating processes. These results are important in light of the Dodd-Frank mandate to standardize credit ratings.
Number of Pages in PDF File: 50
Keywords: credit ratings, NRSROs, municipal bonds, sovereign bonds, CDOs, capital markets regulation
JEL Classification: G14, G24, G28, G32working papers series
Date posted: August 15, 2011 ; Last revised: August 22, 2013
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