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Studying Replicability of Aggregated External Credit Assessments by Public Information
Высшая школа экономики
,
2018.
No. 71.
In this paper, we examine if the aggregate rating constructed as a consensus of individual credit ratings can be accurately predicted with publicly available non-rating information about company. Adopting approach from computational social choice we construct consensus of ratings assigned by seven credit rating agencies to Russian banks in national scale and compare it with several proxies based on publicly available characteristics of those banks. We measure how much aggregate (consensus) rating and proxies are agreed in terms of ordering banks by their credit quality and discriminatory power in predicting defaults over the one-year horizon. We show that aggregate (consensus) rating is comparable to financial-data-based econometric default model in term of discriminatory power, but as ordering the former have a fairly low agreement with the last. We also found that using models for predicting initial credit ratings allows for building a proxy that has practically high agreement with the original aggregate rating, but original aggregate rating outperforms proxy in terms of discriminatory power. It was also found that greater agreement between original aggregated rating and proxy can be achieved on the subsample of investment grade ratings.
Publication based on the results of:
Volodin S., Веселова А. С., Управленческий учет и финансы 2016 Т. 47 № 3 С. 192-201
Влияние кредитных рейтингов на развитие как отдельных эмитентов, так и целых стран, на сегодняшний день весьма велико. Изменение рейтинга является одним из наиболее важных показателей для инвесторов, и существенным образом влияет на потоки направляемых инвестиций. Однако, несмотря на всеобщее признание ведущих мировых рейтинговых агентств, выставляемые ими оценки бывают весьма неоднозначны. В данной работе авторами предпринята ...
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Содержание статьи.
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Karminsky A. M., Polozov A., Switzerland : Springer, 2016
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Oxford Abstracts, 2021
Recovering from Covid: Responsible Management and Reshaping the Economy
In 2021, the 35th Conference and 2nd BAM Conference in the Cloud, will critically engage with the socio-economic recovery from the global Covid-19 pandemic.
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