Home  Journals  Financial Analytics: Science and Experience  41(83) - 2011 November

Sovereign rating models and their potential

Available online: 10 November 2011

Subject Heading: World economy

JEL Classification: 

This paper presents results of Moody’s sovereign ratings modeling. The models are estimated with ordered probity technique method. The sample is based on data collected for 111 countries for the period 1991-2010. The paper also contains the generalized classification of explaining variables usually applied for sovereign ratings modeling in similar works. The predicting power of the models is estimated for different classes of sovereign ratings. The models are tested by in-the- sample/out-of-sample comparison.
     Approved models are appropriate for risk-management problems as well as for early-warning-systems.

Keywords: model, sovereign rating, econometric, developing country

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ISSN 2311-8768 (Online)
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