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Sovereign rescheduling probabilities in emerging markets: a comparison with credit rating agencies' ratings

Sovereign rescheduling probabilities in emerging markets: a comparison with credit rating agencies' ratings

Georgievska, A., Georgievska, L., Stojanovic, Aleksandar and Todorovic, N. (2008) Sovereign rescheduling probabilities in emerging markets: a comparison with credit rating agencies' ratings. Journal of Applied Statistics, 35 (9). pp. 1031-1051. ISSN 0266-4763 (doi:10.1080/02664760802193112)

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Abstract

This study estimates default probabilities of 124 emerging countries from 1981 to 2002 as a function of a set of macroeconomic and political variables. The estimated probabilities are then compared with the default rates implied by sovereign credit ratings of three major international credit rating agencies (CRAs) – Moody's Investor's Service, Standard & Poor's and Fitch Ratings. Sovereign debt default probabilities are used by investors in pricing sovereign bonds and loans as well as in determining country risk exposure. The study finds that CRAs usually underestimate the risk of sovereign debt as the sovereign credit ratings from rating agencies are usually too optimistic.

Item Type: Article
Uncontrolled Keywords: sovereign debt, default probabilities, credit rating agencies, credit ratings, political instability, country risk, debt, default, crises
Subjects: H Social Sciences > HF Commerce
Faculty / Department / Research Group: Faculty of Business > Centre for Governance, Risk & Accountability (GRA)
Faculty of Business > Department of Accounting & Finance
Related URLs:
Last Modified: 14 Oct 2016 09:06
Selected for GREAT 2016: None
Selected for GREAT 2017: None
Selected for GREAT 2018: None
URI: http://gala.gre.ac.uk/id/eprint/2416

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