RT Journal Article
SR Electronic
T1 How Consistent are Credit Ratings? A Geographic and Sectoral Analysis of Default Risk
JF The Journal of Fixed Income
FD Institutional Investor Journals
SP 24
OP 30
DO 10.3905/jfi.2000.319273
VO 10
IS 3
A1 John Ammer
A1 Frank Packer
YR 2000
UL https://pm-research.com/content/10/3/24.abstract
AB 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.