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Consensus Information and Consensus Rating

In: Operations Research Proceedings 2014

Author

Listed:
  • Christoph Lehmann

    (TU Dresden)

  • Daniel Tillich

    (TU Dresden)

Abstract

Quantifying credit risk with default probabilities is a standard technique for financial institutes, investors or rating agencies. To get a higher precision of default probabilities, one idea is the aggregation of different available ratings (i.e. default probabilities) to a so called ‘consensus rating’. But does the concept of ‘consensus rating’ really make sense? What is a ‘real’ consensus rating? This paper tries to clarify under which conditions a consensus rating exists. Therefore, the term of ‘consensus information’ is used. This leads to a concept that deals with the precision of aggregated rating characteristics. Within this framework the problem of misinformation resp. contradictory information is addressed. It is shown that consensus information is not necessarily more informative than individual information. Furthermore, the aggregation aspects are discussed from a statistical perspective.

Suggested Citation

  • Christoph Lehmann & Daniel Tillich, 2016. "Consensus Information and Consensus Rating," Operations Research Proceedings, in: Marco Lübbecke & Arie Koster & Peter Letmathe & Reinhard Madlener & Britta Peis & Grit Walther (ed.), Operations Research Proceedings 2014, edition 1, pages 357-362, Springer.
    • Handle: RePEc:spr:oprchp:978-3-319-28697-6_50
    DOI: 10.1007/978-3-319-28697-6_50
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    Cited by:

    1. Marat Z. Kurbangaleev & Victor A. Lapshin & Zinaida V. Seleznyova, 2018. "Studying The Replicability Of Aggregate External Credit Assessments Using Public Information," HSE Working papers WP BRP 71/FE/2018, National Research University Higher School of Economics.

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