Full paper available here.
Yen-Ting Hu, Ruediger Kiesel, William Perraudin and Gerhard Stahl
This paper compares the informational content of judgmentally determined sovereign ratings produced by a private sector bank and by the rating agency Standard and Poor’s, with ratings derived from econometric analysis of sovereign default. We show that downgrades in both the bank and the agency ratings may be predicted using quantitative ratings whereas upgrades in the quantitative ratings appear to be predictable using judgmental ratings.
