Table 3 Downgrade probability of Moody’s and EJR’s ratings
From: Detecting conflicts of interest in credit rating changes: a distribution dynamics approach
Moody's | EJR’s | Downgrade probability (%) | ||
|---|---|---|---|---|
Moody’s | EJR | Moody's—EJR | ||
Aaa | AAA | 83.03 | 86.74 | − 3.71 |
Aa1 | AA+ | 78.53 | 80.05 | − 1.52 |
Aa2 | AA | 73.81 | 75.81 | − 2.00 |
Aa3 | AA− | 71.65 | 68.78 | 2.87 |
A1 | A+ | 66.50 | 58.54 | 7.96 |
A2 | A | 56.75 | 58.00 | − 1.25 |
A3 | A− | 55.62 | 55.06 | 0.56 |
Baa1 | BBB+ | 54.06 | 53.12 | 0.94 |
Baa2 | BBB | 51.95 | 53.10 | − 1.15 |
Baa3 | BBB− | 48.66 | 48.95 | − 0.29 |
Ba1 | BB+ | 44.78 | 47.73 | − 2.95 |
Ba2 | BB | 50.54 | 45.63 | 4.91 |
Ba3 | BB− | 51.52 | 47.16 | 4.36 |
B1 | B+ | 46.30 | 49.10 | − 2.80 |
B2 | B | 45.51 | 44.62 | 0.89 |
B3 | B− | 39.50 | 36.46 | 3.04 |
Caa1 | CCC+ | 30.21 | 30.97 | − 0.76 |
Caa2 | CCC | 26.60 | 31.66 | − 5.06 |
Caa3 | CCC− | 22.20 | 30.47 | − 8.27 |
Ca | CC | 17.99 | 26.94 | − 8.95 |
C | C | 14.96 | 22.84 | − 7.88 |
Average | − 1.00 | |||