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Please use this identifier to cite or link to this item:
http://hdl.handle.net/2451/26559
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| Title: | Effects of rating through cycle on rating stability, rating timeliness
and default predection performance |
| Authors: | Altman, Edward I.
Rijken, Herbert A. |
| Issue Date: | Dec-2004 |
| Series/Report no.: | FIN-04-032 |
| Abstract: | The role and performance of credit rating agencies are currently under
debate. Several surveys conducted in the United States reveal that most
investors believe that rating agencies are too slow in adjusting their
ratings to changes in corporate creditworthiness. Well known is that
agencies achieve rating stability by their through-the-cycle
methodology. This study aims to provide quantitative insight in this
methodology and to quantify the effects of this methodology on rating
stability, rating timeliness and default prediction performance, from an
investor's point-in-time perspective. We believe that our results can
guide the search for an optimal balance between rating stability, rating
timeliness and default prediction performance. |
| URI: | http://hdl.handle.net/2451/26559 |
| Appears in Collections: | Finance Working Papers
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