Rating Change Probabilities: An Empirical Analysis of Sovereign Ratings - Bergen, Alex
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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.…mehr

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Produktbeschreibung
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.
Autorenporträt
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.