Sovereign rescheduling probabilities in emerging markets: a comparison with credit rating agencies' ratings
Georgievska, A., Georgievska, L., Stojanovic, Aleksander 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)Full text not available from this repository.
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.
|Uncontrolled Keywords:||sovereign debt, default probabilities, credit rating agencies, credit ratings, political instability, country risk, debt, default, crises|
|Subjects:||H Social Sciences > HF Commerce|
|School / Department / Research Groups:||School of Business|
School of Business > Department of Accounting & Finance
|Last Modified:||08 Nov 2010 14:04|
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