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A credit risk manager is in charge of credit risk analysis of large corporates at Bank XYZ. The 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 categories | Description |
|-------------------|-------------|
| 1 | High investment grade |
| 2 | Mid investment grade |
| 3 | Low investment grade |
| 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 correlation
B
Pearson correlation
C
Structured correlation matrix
D
Covariance