In this chapter, we analyze the main entropy measures applied to the sovereign credit rating data of the European Union. The dataset used for the investigation consists of ratings from four major rating agencies: Moody’s, S&P, Fitch, and DBRS, and it covers a 15-years period approximately which includes the great financial crisis of 2008-2011. This analysis allows us to compare the durations of the individual rating states among the agencies and to understand if those agencies really respond to the individual rating states with different durations. We perform the entire investigation considering the right censoring statistical problem.
Entropy Measures for Credit Sovereign Ratings: The European Union Case
Guglielmo D’Amico
;B. Di Basilio
2022-01-01
Abstract
In this chapter, we analyze the main entropy measures applied to the sovereign credit rating data of the European Union. The dataset used for the investigation consists of ratings from four major rating agencies: Moody’s, S&P, Fitch, and DBRS, and it covers a 15-years period approximately which includes the great financial crisis of 2008-2011. This analysis allows us to compare the durations of the individual rating states among the agencies and to understand if those agencies really respond to the individual rating states with different durations. We perform the entire investigation considering the right censoring statistical problem.I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
