How consistent are credit ratings? a geographic and sectoral analysis of default risk

John Ammer and Frank Packer (frank.packer@bis.org)
Additional contact information
John Ammer: https://www.federalreserve.gov/econres/john-ammer.htm

No 668, International Finance Discussion Papers from Board of Governors of the Federal Reserve System (U.S.)

Abstract: We examine differences in default rates by sector and obligor domicile. We find evidence that credit ratings have been imperfectly calibrated across issuer sectors in the past. Controlling for year of issue and rating, default rates appear to be higher for U.S. financial firms than for U.S. industrial firms. Sectoral differences in recovery rates do not offset the higher default rates. By contrast, we do not find significant differences in default rates between U.S. and foreign firms.

Keywords: Credit ratings; Risk (search for similar items in EconPapers)
Date: 2000
New Economics Papers: this item is included in nep-cfn, nep-fmk and nep-ias
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (14)

Downloads: (external link)
http://www.federalreserve.gov/pubs/ifdp/2000/668/default.htm (text/html)
http://www.federalreserve.gov/pubs/ifdp/2000/668/ifdp668.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:fip:fedgif:668

Access Statistics for this paper

More papers in International Finance Discussion Papers from Board of Governors of the Federal Reserve System (U.S.) Contact information at EDIRC.
Bibliographic data for series maintained by Ryan Wolfslayer ; Keisha Fournillier (ryan.d.wolfslayer@frb.gov).