Publication detail

Interconnectivity among Assessments from Rating Agencies: Using Cluster and Correlation Analysis

KREJČÍŘ, J. DOSTÁL, P. DOUBRAVSKÝ, K.

Original Title

Interconnectivity among Assessments from Rating Agencies: Using Cluster and Correlation Analysis

Type

journal article in Scopus

Language

English

Original Abstract

The aim of this paper is to determine whether there is a dependency among leading rating agencies assessments. Rating agencies are important part of global economy. Great attention has been paid to activities of rating agencies since 2007, when there was a financial crisis. One of the main causes of this crisis was identified credit rating agencies. This paper is focused on an existence of mutual interconnectivity among assessments from three leading rating agencies. The method used for this determines is based on cluster analysis and subsequently correlation analysis and the test of independence. Credit rating assessments of Greece and Spain were chosen to the determination of this mutual interconnectivity due to the fact that these countries are most talked euroarea countries. The significant dependence of the assessment from different rating agencies has been demonstrated.

Keywords

credit rating assessments; credit rating agencies; cluster analysis; correlation coefficient; test independence

Authors

KREJČÍŘ, J.; DOSTÁL, P.; DOUBRAVSKÝ, K.

RIV year

2014

Released

30. 9. 2014

Publisher

Vilnius Gediminas Technical University

Location

Latvia

ISBN

1648-0627

Periodical

Business: Theory and Practice

Year of study

15

Number

3

State

Republic of Lithuania

Pages from

269

Pages to

278

Pages count

9

URL

https://journals.vgtu.lt/index.php/BTP/article/view/8370

Full text in the Digital Library

http://hdl.handle.net/11012/201720

BibTex

@article{BUT109668,
  author="Jaroslav {Krejčíř} and Petr {Dostál} and Karel {Doubravský}",
  title="Interconnectivity among Assessments from Rating Agencies: Using Cluster and Correlation Analysis",
  journal="Business: Theory and Practice",
  year="2014",
  volume="15",
  number="3",
  pages="269--278",
  doi="10.3846/btp.2014.26",
  issn="1648-0627",
  url="https://journals.vgtu.lt/index.php/BTP/article/view/8370"
}