
Ultimate access to all questions.
A risk manager is in possession of credit ratings provided by two rating agencies, X and Y, for 30 companies the manager oversees. The ratings are classified into four categories:
Rating 1: High investment grade
Rating 2: Mid investment grade
Rating 3: Low investment grade
Rating 4: Non-investment grade
The manager plots the rating categories from the two agencies as shown below:
[Image blocked: Corporate Ratings: Agency X vs. Agency Y]
Which of the following statistical measures could best help the manager approximate the link between rating categories from the two agencies?
A
Spearman's rank correlation
B
Pearson correlation coefficient
C
Kendall's tau
D
Chi-square test of independence