Has there been any historical evaluation of the quality of credit ratings provided by agencies such as Fitch, S&P, and Moody's? Are there any academic resources available on this topic? I have checked Google Scholar, but could not find much. I'm curious to learn more about this topic, including the methodologies that can be used to test the accuracy of these credit ratings.

  • $\begingroup$ There are many papers. Either you're not searching correctly, or you have additional keywords? For example, start with this classic sec.gov/news/studies/2008/craexamination070808.pdf $\endgroup$ Feb 19 at 21:50
  • $\begingroup$ Do you happen to know of any literature that evaluates credit ratings from an empirical quantitative viewpoint? That's the kind of paper I have been searching for. I would like to get familiar with such methodology (e.g. testing the credit ratings versus actual default probability). $\endgroup$
    – John
    Feb 19 at 22:21

1 Answer 1


There are many papers.

Here are some random examples:

Many of the papers under https://www.michaeljacobsjr.com/research-papers/

http://dx.doi.org/10.2139/ssrn.1466710 Ralf Elsas, Sabine Mielert. Rating Validation Based on Shocks to Firms’ Credit Quality

http://dx.doi.org/10.2139/ssrn.2521216 Sean Flynn, Andra Ghent. Competition and Credit Ratings After the Fall.

https://dx.doi.org/10.1016/j.jbankfin.2008.11.007 Lydian Medema, Ruud Koning, Robert Lensink A practical approach to validating a PD model.

http://dx.doi.org/10.21314/JRMV.2021.009 Mark Rubtsov. Backtesting of a probability of default model in the point-in-time–through-the-cycle context.

https://dx.doi.org/10.1016/j.irfa.2016.06.007 Fábio Yasuhiro Tsukahara, Herbert Kimura, Vinicius Amorim Sobreiro, Juan Carlos Arismendi Zambrano. Validation of default probability models: A stress testing approach.

http://dx.doi.org/10.21314/JRMV.2007.003 Douglas Dwyer. The distribution of defaults and Bayesian model validation.

https://papers.ssrn.com/sol3/papers.cfm?abstract_id=996025 Richard Cantor, Christopher Mann. Measuring the Performance of Corporate Bond Ratings. Moody's Special Comment.

https://www.spglobal.com/marketintelligence/en/news-insights/research/demystifying-credit-risk-models-backtesting-and-recalibration Credit Analytics Statistical Models’ Backtesting and Recalibration: A Primer

https://www.wsj.com/articles/inflated-bond-ratings-helped-spur-the-financial-crisis-theyre-back-11565194951 Cezary Podkul, Gunjan Banerji. Inflated Bond Ratings Helped Spur the Financial Crisis. They’re Back.



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