Reliability and agreement of credit ratings in the Mexican fixed-income market

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dc.contributor.authorCharlin, Ventura
dc.contributor.authorCifuentes, Arturo
dc.date.accessioned2024-01-10T12:42:05Z
dc.date.available2024-01-10T12:42:05Z
dc.date.issued2017
dc.description.abstractCredit ratings play an important role in the bond market, as the regulatory framework of this sector is based on ratings. A critical assumption is that the ratings of all the rating agencies are equivalent, ie, they exhibit very close agreement. This paper, borrowing concepts from measurement, test and psychometric theories, explores this issue in the Mexican corporate bond market. The ratings of all three credit rating agencies (CRAs) show a high degree of inter-rater reliability (similar ordinal relationships implied by the ratings); they only exhibit a mild level of inter-rater agreement (the degree to which two CRAs give the same rating), and they reveal significant discrepancy in ranking in paired observations. In summary, the three CRAs give ratings that are not equivalent, as their respective distributions are dissimilar. Therefore, our results challenge the suitability of ratings as a useful metric for regulatory purposes, as they create the possibility of arbitrage (rating shopping).
dc.description.funderFONDECYT
dc.format.extent25 páginas
dc.fuente.origenWOS
dc.identifier.doi10.21314/JCR.2017.227
dc.identifier.eissn1755-9723
dc.identifier.issn1744-6619
dc.identifier.urihttps://doi.org/10.21314/JCR.2017.227
dc.identifier.urihttps://repositorio.uc.cl/handle/11534/77479
dc.identifier.wosidWOS:000409111400002
dc.information.autorucIngeniería;Cifuentes A;S/I;1061514
dc.issue.numero3
dc.language.isoen
dc.nota.accesoSin adjunto
dc.pagina.final45
dc.pagina.inicio21
dc.publisherINCISIVE MEDIA
dc.revistaJOURNAL OF CREDIT RISK
dc.rightsregistro bibliográfico
dc.subjectcredit ratings
dc.subjectMexican bond market
dc.subjectfinancial regulation
dc.subjectsplit ratings
dc.subjectrating shopping
dc.subjectSPLIT RATINGS
dc.subjectINDUSTRY
dc.subjectMOODYS
dc.subjectBANKS
dc.subjectRISK
dc.titleReliability and agreement of credit ratings in the Mexican fixed-income market
dc.typeartículo
dc.volumen13
sipa.codpersvinculados1061514
sipa.indexWOS
sipa.indexScopus
sipa.trazabilidadCarga SIPA;09-01-2024
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