TY  - BOOK
AU  - Alex Bergen
PY  - 2014
CY  - Hamburg, Germany
PB  - Anchor Academic Publishing
SN  - 9783954896561
TI  - Rating Change Probabilities: An Empirical Analysis of Sovereign Ratings
UR  - https://m.anchor-publishing.com/document/287522
N2  - 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.
KW  - Ratings, Probit Model, Transition Matrix, Rating Agencies, Stata
LA  - English
ER  -