Sovereign rescheduling probabilities in emerging markets: a comparison with credit rating agencies’ ratings
نویسندگان
چکیده
منابع مشابه
Do Rating Agencies Exhibit Herding Behaviour? Evidence from Sovereign Ratings
Different rating agencies may have different levels of expertise (reputation) for different countries it is not obvious that such homogeneity holds. We therefore conduct poolability tests within this context to assess this assumption and find evidence of heterogeneity. This leads us to conduct country-by-country timeseries tests, allowing all slope coefficients to vary across countries, to asse...
متن کاملSovereign credit ratings, capital flows and financial sector development in Emerging markets
How does the sovereign credit ratings history provided by independent ratings agencies affect domestic financial sector development and international capital inflows to emerging countries? We address this question utilizing a comprehensive dataset of sovereign credit ratings from Standard and Poor’s from 1995-2003 for a cross-section of 51 emerging markets. Within a panel data estimation framew...
متن کاملSovereign Securitization in Emerging Markets
Over many years, securitization has proven to be an expedient and highly flexible refinancing tool for corporates and public sector entities that seek a more accurate capital-market based valuation of asset performance. After successful securitization by public sector entities in advanced countries, also sovereigns in emerging economies are becoming adept at securitization as an efficient means...
متن کاملA process model to develop an internal rating system: Sovereign credit ratings
The Basel II capital accord encourages financial institutions to develop rating systems for assessing the risk of default of their credit portfolios in order to better calculate the minimum regulatory capital needed to cover unexpected losses. In the internal ratings based approach, financial institutions are allowed to build their own models based on collected data. In this paper, a generic pr...
متن کاملDeterminants and Impact of Sovereign Credit Ratings
n recent years, the demand for sovereign credit rat-ings—the risk assessments assigned by the credit rating agencies to the obligations of central govern-ments—has increased dramatically. More governments with greater default risk and more companies domiciled in riskier host countries are borrowing in international bond markets. Although foreign government officials generally cooperate with the...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Journal of Applied Statistics
سال: 2008
ISSN: 0266-4763,1360-0532
DOI: 10.1080/02664760802193112