2020
DOI: 10.26845/kjfs.2020.12.49.6.833
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Determinants and Sensitivity of Credit Ratings: A Panel Data Analysis

Abstract: Using panel ordinal logit model from 2009 to 2019, this study analyzed the determinants of corporate bond credit ratings. Although credit rating agencies consider both market and financial factors to determine rating (Agency Rating, AR), most literature only considers the effect of financial factors on AR. This study attempts to fill this gap by adding market risk measure and analyzing the effect on bond-implied rating (BIR) determination. We also analyze the sensitivity difference between AR and BIR. Our find… Show more

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