Data di Pubblicazione:
2022
Abstract:
In this chapter, we analyze the main entropy measures applied to the
sovereign credit rating data of the European Union. The dataset used for
the investigation consists of ratings from four major rating agencies:
Moody’s, S&P, Fitch, and DBRS, and it covers a 15-years period
approximately which includes the great financial crisis of 2008-2011.
This analysis allows us to compare the durations of the individual rating
states among the agencies and to understand if those agencies really
respond to the individual rating states with different durations. We
perform the entire investigation considering the right censoring statistical
problem.
sovereign credit rating data of the European Union. The dataset used for
the investigation consists of ratings from four major rating agencies:
Moody’s, S&P, Fitch, and DBRS, and it covers a 15-years period
approximately which includes the great financial crisis of 2008-2011.
This analysis allows us to compare the durations of the individual rating
states among the agencies and to understand if those agencies really
respond to the individual rating states with different durations. We
perform the entire investigation considering the right censoring statistical
problem.
Tipologia CRIS:
2.1 Contributo in volume (Capitolo o Saggio)
Keywords:
credit sovereign ratings, entropy measures, goodness-of-fit test
generation
Elenco autori:
D'Amico, Guglielmo; De Blasis, R.; Di Basilio, B.
Link alla scheda completa:
Titolo del libro:
Advances in Business and Management