Rating aggregation flawed, but better than nothing, researchers say

New research finds errors still substantial even after combining ratings


Aggregating credit ratings from different providers might seem a good way to come up with more reliable estimates of default risk, but new analysis suggests it does not work well in practice.

Christoph Lehmann and Daniel Tillich of the Dresden University of Technology in Germany tested the effects of aggregation with a simulated debt market, including 4,000 issuers of differing credit quality and three rating agencies, each using the same internal model but with access to different, overlapping

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe

You are currently unable to copy this content. Please contact info@risk.net to find out more.

Sorry, our subscription options are not loading right now

Please try again later. Get in touch with our customer services team if this issue persists.

New to Risk.net? View our subscription options


Want to know what’s included in our free membership? Click here

This address will be used to create your account

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here