Data Load and Exploratory Data Analysis on Credit Rating Data

[ijyliu]

Information about the dataset: https://www.kaggle.com/datasets/agewerc/corporate-credit-rating. Source: opendatasoft.

Supplementary dataset: https://www.kaggle.com/datasets/kirtandelwadia/corporate-credit-rating-with-financial-ratios and info on the creation of this dataset can be found in section 2 of https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4163283. Source: Center for Municipal Finance, https://data.world/muni-finance/credit-ratings-history-data with more info here: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3103974.

These are the two datasets I could find on Kaggle. It will be hard to find more data, as credit ratings are usually proprietary/required paid data access.

• [x] What is the distribution of dates and ratings? Check we have 2010-2016.
• [x] What is the distribution of companies and industry sectors?
• [x] What is the distribution of agencies and agency ratings?
• [x] The data currently represents issuances of credit ratings. We need to reformat it so that it has an entry for every company earnings call date and the rating at the date. Work closely with the person loading earnings calls - the first thing they should do is get a list of company by earnings call dates #7

[ijyliu]

Started in https://github.com/current12/Stat-222-Project/blob/main/Code/Exploratory%20Data%20Analysis/Credit%20Ratings%20EDA.ipynb but need earning calls data

[ijyliu]

Items from #15 that don't require earnings call data yet

• [x] 2010-2016 S&P ratings only
• [x] how many unique firms
• [x] how many rating changes per firm (histogram)
• [x] number of firms per sector

[ijyliu]

We have long term ratings

Note + and - have been removed for compatibility across agencies (though could switch back to using them)

[ijyliu]

completed in https://github.com/current12/Stat-222-Project/blob/main/Code/Exploratory%20Data%20Analysis/Credit%20Ratings%20EDA.ipynb