Multivariate ordinal regression models: an analysis of corporate credit ratings

The Informational Value of Corporate Credit Ratings

This paper examines the quality of credit ratings issued by the three major credit rating agencies Moody’s, Standard and Poor’s and Fitch. If credit ratings are informative, then prices of underlying credit instruments such as fixed-income securities and credit default insurance should change to reflect the new credit risk information. Using data on 246 different major fixed-income securities i...

Bayesian Nonparametric Modeling for Multivariate Ordinal Regression

Univariate or multivariate ordinal responses are often assumed to arise from a latent continuous parametric distribution, with covariate effects which enter linearly. We introduce a Bayesian nonparametric modeling approach for univariate and multivariate ordinal regression, which is based on mixture modeling for the joint distribution of latent responses and covariates. The modeling framework e...

Logistic Regression for Multivariate Longitudinal Ordinal Data

Ratings-Based Models of Credit Risk

Empirical Research on Corporate Credit- Ratings: A Literature Review

We report on the current state and important older findings of empirical studies on corporate credit ratings and their relationship to ratings of other entities. Specifically, we consider the results of three lines of research: The correlation of credit ratings and corporate default, the influence of ratings on capital markets, and the determinants of credit ratings and rating changes. Results ...