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International Finance Discussion Papers
The International Finance Discussion Papers logo links to the International Finance Discussion Papers home page How Consistent Are Credit Ratings? A Geographic and Sectoral Analysis of Default Risk
John Ammer; Frank Packer
2000-668  (June 2000)

Abstract:  We examine differences in default rates by sector and obligor domicile. We 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 for U.S. industrial firms. Sectoral differences in recovery rates do not offset the higher default rates. By contrast, we do not find significant differences in default rates between U.S. and foreign firms.

Full paper (73 KB PDF)

Keywords
bonds, rating agencies, capital requirements, Basel Committee on Banking Supervision

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Last update: July 19, 2001