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The Journal of Fixed Income

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Primary Article

How Consistent are Credit Ratings? A Geographic and Sectoral Analysis of Default Risk

John Ammer and Frank Packer
The Journal of Fixed Income Winter 2000, 10 (3) 24-30; DOI: https://doi.org/10.3905/jfi.2000.319273
John Ammer
A economist at the Board of Governors of the Federal Reserve System in Washington, DC.
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Frank Packer
A director at Nikko Salomon Smith Barney in Tokyo, Japan.
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Abstract

The authors examine differences in default rates by sector and obligor domicile. They find evidence that credit ratings have been imperfectly calibrated across issuer sectors in the past. Controlling for year of issue and rating, default rates appear to be higher for U.S. financial firms than U.S. industrial firms. Sectoral differences in recovery rates do not offset the higher default rates. By contrast, the authors do not find significant differences in default rates between U.S. and foreign firms.

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The Journal of Fixed Income
Vol. 10, Issue 3
Winter 2000
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How Consistent are Credit Ratings? A Geographic and Sectoral Analysis of Default Risk
John Ammer, Frank Packer
The Journal of Fixed Income Dec 2000, 10 (3) 24-30; DOI: 10.3905/jfi.2000.319273

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How Consistent are Credit Ratings? A Geographic and Sectoral Analysis of Default Risk
John Ammer, Frank Packer
The Journal of Fixed Income Dec 2000, 10 (3) 24-30; DOI: 10.3905/jfi.2000.319273
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