Rating aggregation flawed, but better than nothing, researchers say

New research finds errors still substantial even after combining ratings

pile-of-books

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

To continue reading...

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 indvidual account here: