Table 4 Probabilities of rating changes in threshold ratings
From: Detecting conflicts of interest in credit rating changes: a distribution dynamics approach
Rating letter grades | Downgrade probability (%) | |||
|---|---|---|---|---|
Moody's | EJR | Moody’s | EJR | Moody’s -EJR |
Panel A: Downgrade probability of Moody’s and EJR’s ratings designated with a minus sign | ||||
Aa3 | AA− | 71.65 | 68.78 | 2.87 |
A3 | A− | 55.62 | 55.06 | 0.56 |
Baa3 | BBB− | 48.66 | 48.95 | − 0.29 |
Ba3 | BB− | 51.52 | 47.16 | 4.36 |
B3 | B− | 39.50 | 36.46 | 3.03 |
Caa3 | CCC− | 22.20 | 30.47 | − 8.27 |
Average | 2.11 | |||
Rating letter grades | Upgrade probability (%) | |||
|---|---|---|---|---|
Moody's | EJR | Moody’s | EJR | Moody’s -EJR |
Panel B: Upgrade probability of Moody’s and EJR’s ratings designated with a plus sign | ||||
Aa1 | AA+ | 21.47 | 19.95 | 1.52 |
A1 | A+ | 33.50 | 41.46 | − 7.97 |
Baa1 | BBB+ | 45.94 | 46.88 | − 0.94 |
Ba1 | BB+ | 55.22 | 52.27 | 2.95 2.95 |
B1 | B+ | 53.70 | 50.90 | 2.80 |
Caa1 | CCC+ | 69.79 | 69.03 | 0.76 0.76 |
Average | − 0.15 | |||