Rating Change Probabilities : (Record no. 84496)

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fixed length control field 08492nam a22004573i 4500
001 - CONTROL NUMBER
control field EBC1640333
003 - CONTROL NUMBER IDENTIFIER
control field MiAaPQ
005 - DATE AND TIME OF LATEST TRANSACTION
control field 20191126114530.0
006 - FIXED-LENGTH DATA ELEMENTS--ADDITIONAL MATERIAL CHARACTERISTICS
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007 - PHYSICAL DESCRIPTION FIXED FIELD--GENERAL INFORMATION
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008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION
fixed length control field 191125s2013 xx o ||||0 eng d
020 ## - INTERNATIONAL STANDARD BOOK NUMBER
International Standard Book Number 9783954896561
Qualifying information (electronic bk.)
020 ## - INTERNATIONAL STANDARD BOOK NUMBER
Canceled/invalid ISBN 9783954891566
035 ## - SYSTEM CONTROL NUMBER
System control number (MiAaPQ)EBC1640333
035 ## - SYSTEM CONTROL NUMBER
System control number (Au-PeEL)EBL1640333
035 ## - SYSTEM CONTROL NUMBER
System control number (CaPaEBR)ebr10856572
035 ## - SYSTEM CONTROL NUMBER
System control number (OCoLC)871779878
040 ## - CATALOGING SOURCE
Original cataloging agency MiAaPQ
Language of cataloging eng
Description conventions rda
-- pn
Transcribing agency MiAaPQ
Modifying agency MiAaPQ
050 #4 - LIBRARY OF CONGRESS CALL NUMBER
Classification number HB3722 -- .B474 2014eb
082 0# - DEWEY DECIMAL CLASSIFICATION NUMBER
Classification number 338.542
100 1# - MAIN ENTRY--PERSONAL NAME
Personal name Bergen, Alex.
9 (RLIN) 88256
245 10 - TITLE STATEMENT
Title Rating Change Probabilities :
Remainder of title An Empirical Analysis of Sovereign Ratings.
250 ## - EDITION STATEMENT
Edition statement 1st ed.
264 #1 - PRODUCTION, PUBLICATION, DISTRIBUTION, MANUFACTURE, AND COPYRIGHT NOTICE
Place of production, publication, distribution, manufacture Hamburg :
Name of producer, publisher, distributor, manufacturer Diplomica Verlag,
Date of production, publication, distribution, manufacture, or copyright notice 2013.
264 #4 - PRODUCTION, PUBLICATION, DISTRIBUTION, MANUFACTURE, AND COPYRIGHT NOTICE
Date of production, publication, distribution, manufacture, or copyright notice ©2014.
300 ## - PHYSICAL DESCRIPTION
Extent 1 online resource (50 pages)
336 ## - CONTENT TYPE
Content type term text
Content type code txt
Source rdacontent
337 ## - MEDIA TYPE
Media type term computer
Media type code c
Source rdamedia
338 ## - CARRIER TYPE
Carrier type term online resource
Carrier type code cr
Source rdacarrier
520 ## - SUMMARY, ETC.
Summary, etc. This study analyzes the determinants of rating changes and the variables' marginal effects on rating change probabilities. Based on the results, it presents transition matrices by computing transition probabilities. Furthermore, this study analyzes subsamples of the data set, conditional on the business cycle and the economic strength of a country, by using interaction effects. The Author of this study thereby verifies whether or how the transition matrices change by including interaction effects. He applies a latent variable approach, using an ordered probit model, to calculate the effects of different variables on the probabilities of rating changes.   Auszug aus dem Text Text Sample: Chapter 3, Agencies' rating assessment: Rating agencies emphasize that ratings are based on both quantitative and qualitative elements. The qualitative approach is supposed to add additional information which is not incorporated in the quantitative data. Rating agencies have multiple instruments to disclose obligors' creditworthiness to investors. Besides rating, also outlook and review serve as additional sources of information for investors. The outlook usually precedes rating reviews and serves as an indicator as to the direction of the credit assessment in the medium term. There are four categories ranging from positive, negative, stable and developing (Moody's, 2012a). 'A review indicates that a rating is under consideration for a change in the near term' ranging from upgrade (UPG), downgrade (DNG) to uncertain direction (UNC). This section explains the basic rating definitions and introduces the agencies' methodology to construct rating transition matrices. 3.1, Rating Definitions and Methodology: 'Sovereign debt ratings are forward-looking qualitative measures of the probability of default, given in the form of a code' (Afonso et al., 2009). There are both
520 8# - SUMMARY, ETC.
Summary, etc. short- and long-term ratings. In this Bachelor thesis I will discuss only long-term ratings because they are better known and because they allow a broader ranking of letter rating categories. There are 9 coarse rating categories and 21 fine rating categories for long-term ratings, whereas there are only four short term ratings which are P-1, P-2, P-3 and not prime. Table 1 shows the order of Moody's ratings with the respective evaluation of a corresponding country's credit standing (Moody's, 2012a). Next to Moody's credit codes, I also added the codes that I use for my analysis, in order to be able to calculate with them. Moody's have a three-stage process to determine a sovereign rating (Moody's, 2008). In the first step, they assess the country's economic resiliency. In the second step, they assess the government's financial robustness. Finally, in the third step they determine the rating within the fine rating category. The first step is described by two factors. The first factor is the economic strength, which is given by the quantitative values of GDP per capita and the volatility of GDP. The second factor is the institutional strength of the country, such as 'property right, transparency, the efficiency and predictability of government action, the degree of consensus on the key goals of political action' (Moody's, 2008). The second step is again described by two factors. The first factor is the financial strength of the government, such as the sort of debt and the government's ability to 'raise taxes, cut spending, sell assets, obtain foreign currency,…'(Moody's, 2008). The second factor is the sensibility to event risk. This factor accounts for the country's ability to resist to the 'occurrence of adverse economic, financial or political events' (Moody's, 2008). Due to the last two mentioned steps, Moody's have placed the country in one of
520 8# - SUMMARY, ETC.
Summary, etc. the nine coarse rating categories. The third step defines the fine category from the 21 ratings by 'adjusting the degree of resiliency to the degree of financial robustness'. 3.2, Rating Transition Matrices: According to Moody's, a rating change represents a 'variation in the intrinsic relative position of issuers and their obligations' due to 'alteration in creditworthiness, or that the previous rating did not fully reflect the quality of the bond as now seen' (Moody's, 2012c). Even though long-term ratings are supposed to reflect the country's long-term rating standing, there are cases, in which Moody's change ist rating assessment annually or quarterly. This especially happens in times of economic turmoils like the current sovereign debt crisis in Europe. The big three rating agencies S & P, Moody's and Fitch create one and five year credit transition matrices. Credit transition matrices describe migration probabilities of firms and countries to change from any initial credit standing to any terminal rating in a future time. Moody's make use of survival or duration modeling, called 'multiple destination proportional hazards model' to calculate the transition probabilities (Moody's, 2011). Duration models simulate how long the rating stays the same and whether there will be an upgrade, a downgrade or a default. The model uses both macroeconomic and issuer specific variables to determine the transition probabilities. Moody's have identified two macroeconomic factors to have general predictive power for the creditworthiness of countries, which are the unemployment rate forecast and the forecast of the high yield spread over Treasuries. The unemployment rate is meant to describe the 'macroeconomic health'. The high yield spread over Treasuries is meant to incorporate the 'market's perception of credit quality and hence credit availability'.
520 8# - SUMMARY, ETC.
Summary, etc. Additionally the credit transition matrix takes into account today's and historic issuer-specific elements: 'the current rating, whether the issuer was upgraded or downgraded into ist current rating, how long the issuer has maintained ist current rating, how long the issuer has consecutively maintained any credit rating, and the issuers current outlook or watchlist status' (Moody's, 2011).   Biographische Informationen Alex Bergen, B.Sc. was born in 1989 in Jarowoje, Russia. He studied Economics at the University of Mannheim for the Bachelor program and graduated in 2012. Within his Bachelor studies, he completed an Erasmus semester at the Bilkent University in Ankara, Turkey. For his Bachelor thesis he was awarded with the first price by the DZ Bank Group in the category of Bachelor theses. In the year following, he worked at big German banks in the departments of Corporate Finance and Asset Management. After that practical experience, he started his Master program of Finance at the Frankfurt School of Finance & Management which he will finish with Finance, M.Sc. in 2015.
588 ## - SOURCE OF DESCRIPTION NOTE
Source of description note Description based on publisher supplied metadata and other sources.
590 ## - LOCAL NOTE (RLIN)
Local note Electronic reproduction. Ann Arbor, Michigan : ProQuest Ebook Central, 2019. Available via World Wide Web. Access may be limited to ProQuest Ebook Central affiliated libraries.
650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM
Topical term or geographic name entry element Financial crises -- History.;Debts, External -- History.;Economic stabilization -- History.
9 (RLIN) 88257
655 #4 - INDEX TERM--GENRE/FORM
Genre/form data or focus term Electronic books.
9 (RLIN) 88258
776 08 - ADDITIONAL PHYSICAL FORM ENTRY
Relationship information Print version:
Main entry heading Bergen, Alex
Title Rating Change Probabilities: An Empirical Analysis of Sovereign Ratings
Place, publisher, and date of publication Hamburg : Diplomica Verlag,c2013
International Standard Book Number 9783954891566
797 2# - LOCAL ADDED ENTRY--CORPORATE NAME (RLIN)
Corporate name or jurisdiction name as entry element ProQuest (Firm)
856 40 - ELECTRONIC LOCATION AND ACCESS
Uniform Resource Identifier <a href="https://ebookcentral.proquest.com/lib/thebc/detail.action?docID=1640333">https://ebookcentral.proquest.com/lib/thebc/detail.action?docID=1640333</a>
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