Figure 5 - Prediction for Fitch
5a - OLS 5b - Random effects estimation without country specific error
|
AAA |
AA+ |
AA |
AA- |
A+ |
A |
A- |
BBB+ |
Actual BBB BBB- |
BB+ |
BB |
BB- |
B+ |
B |
B- |
<CCC+ |
AAA |
AA+ AA |
AA- |
A+ A |
A- |
Actual BBB+ BBB BBB- |
BB+ BB BB- |
B+ |
B__ |
B- |
<CCC+ | ||||||||||
|
AAA |
63 |
12 |
0 |
2 |
0 |
0 |
AAA |
51 |
13 |
0 |
2 |
0 0 |
0 | |||||||||||||||||||||||
|
AA+ |
35 |
10 |
12 |
7 |
0 |
0 |
0 |
AA+ |
32 |
11 |
16 |
7 |
00 |
0 |
0 | |||||||||||||||||||||
|
AA |
20 |
8 |
18 |
4 |
0 |
2 |
0 |
0 |
AA |
31 |
6 |
16 |
5 |
03 |
0 |
0 0 | ||||||||||||||||||||
|
AA- |
0 |
9 |
2 |
0 |
6 |
0 |
0 |
0 |
AA- |
1 |
0 |
6 |
1 |
19 |
0 |
0 0 0 | ||||||||||||||||||||
|
A+ |
2 |
6 |
1 |
6 |
1 |
1 |
2 |
1 |
A+ |
0 |
0 |
3 |
6 |
02 |
1 |
1 2 1 |
0 | |||||||||||||||||||
|
A |
0 |
0 |
0 |
2 |
0 |
0 |
0 |
0 |
A |
0 |
0 |
0 |
0 |
00 |
4 |
000 |
0 |
0 | ||||||||||||||||||
|
A- |
0 |
0 |
10 |
1 |
0 |
0 |
0 |
0 |
A- |
0 |
0 |
0 |
0 |
00 |
7 |
000 |
0 |
0 |
0 | |||||||||||||||||
|
B |
BBB+ BBB BBB- |
0 |
6 8 |
8 8 0 |
4 10 5 |
0 3 33 |
0 1 9 |
1 0 4 |
0 0 0 |
0 0 |
0 |
Predicted |
BBB+ BBB BBB- |
0 |
0 0 |
0 0 0 |
00 00 0 0 |
7 8 0 |
740 10 6 11 0 9 25 |
0 1 8 |
1 0 3 |
0 0 0 0 00 |
0 0 |
0 | ||||||||||||
|
BB+ |
3 |
6 |
13 |
10 |
0 |
0 |
0 |
0 |
BB+ |
0 0 |
0 |
036 |
16 |
11 |
00 |
0 |
0 |
0 | ||||||||||||||||||
|
BB BB- B+ B B- |
1 |
11 8 |
9 8 1 |
3 8 5 0 |
6 6 5 2 0 |
0 2 6 2 1 0 |
0 0 3 6 0 _3 |
0 0 1 2 3 _____4 |
BB BB- B+ B B- |
0 |
0 0 |
001 000 0 0 0 0 0 0 |
9 8 0 0 0 __0 |
8 7 3 0 0 0 |
28 84 67 00 00 0___0_ |
0 4 3 3 1 0 |
0 0 3 6 2 1 |
0 0 1 3 3 _____1 | ||||||||||||||||||
|
5c - Ordered Probit |
5d - Random effects ordered Probit | |||||||||||||||||||||||||||||||||||
|
AAA |
AA+ |
AA |
AA- |
A+ |
A |
A- |
BBB+ |
Actual BBB BBB- |
BB+ |
BB |
BB- |
B+ |
B |
B- |
<CCC+ |
AAA |
AA+ |
AA |
AA- |
A+ A |
A- |
Actual BBB+ BBB BBB- |
BB+ |
BB BB |
- B+ |
B |
B- |
<CCC+ | ||||||||
|
AAA |
85 |
18 |
7 |
5 |
0 |
0 |
AAA |
69 |
20 |
5 |
3 |
0 0 |
0 | |||||||||||||||||||||||
|
AA+ |
24 |
6 |
11 |
4 |
0 |
0 |
0 |
AA+ |
45 |
8 |
11 |
10 |
00 |
0 |
0 | |||||||||||||||||||||
|
AA |
9 |
6 |
14 |
4 |
0 |
5 |
0 |
0 |
AA |
7 |
7 |
11 |
0 |
00 |
0 |
0 |
0 | |||||||||||||||||||
|
AA- |
0 |
0 |
4 |
2 |
0 |
6 |
0 |
0 |
0 |
AA- |
0 |
0 |
14 |
8 |
16 |
0 |
0 |
0 0 | ||||||||||||||||||
|
A+ |
0 |
0 |
0 |
1 |
1 |
0 |
0 |
0 |
0 |
A+ |
0 |
0 |
0 |
0 |
05 |
0 |
0 |
00 |
0 | |||||||||||||||||
|
A |
5 |
6 |
0 |
2 |
0 |
1 |
1 |
0 |
0 |
A |
0 |
0 |
0 |
2 |
13 |
7 |
1 |
21 |
0 |
0 | ||||||||||||||||
|
A- |
0 |
0 |
0 |
17 |
3 |
1 |
1 |
0 |
1 |
A- |
0 |
0 |
0 |
48 |
20 |
8 |
43 |
0 |
1 |
0 | ||||||||||||||||
|
B |
BBB+ BBB BBB- |
0 |
0 0 |
6 3 1 |
5 7 2 |
4 4 13 |
0 4 32 |
0 1 9 |
0 0 5 |
0 0 0 |
0 0 |
0 |
Predicted |
BBB+ BBB BBB- |
0 |
0 0 |
02 00 0 0 |
9 8 2 |
12 1 0 |
21 8 16 7 21 |
1 2 15 |
0 0 7 |
0 0 00 20 |
0 0 |
0 | |||||||||||
|
BB+ |
0 |
1 |
7 |
17 |
12 |
0 |
2 |
0 |
0 |
BB+ |
0 |
0 |
0 |
26 |
8 |
11 |
27 |
0 |
0 |
1 | ||||||||||||||||
|
BB BB- B+ B B- |
0 |
0 0 |
10 5 0 |
6 5 4 0 |
5 5 6 0 0 |
5 4 5 2 1 0 |
1 0 6 2 2 0 |
0 0 1 6 2 3 |
0 0 1 1 4 _____4 |
BB BB- B+ B B- |
0 |
0 0 |
11 00 0 0 0 |
10 5 5 0 0 |
8 6 4 0 0 0 |
77 64 52 00 00 _0___0 |
2 3 5 0 0 __1 |
1 3 3 2 3 __2 |
0 1 2 2 1 ______4 | |||||||||||||||||
Note: observations above (below) the diagonal are predicted by the model above (below) the actual rating.
56
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