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Title: Assessing country risk: a PD model based on credit ratings
Keywords: Avaliação de riscos
Risco (Economia)
Agências de classificação de risco (Finanças)
Sistemas de avaliação de risco de crédito (Finanças)
Créditos - Avaliação
Risco país
Risk assessment
Rating agencies (Finance)
Credit scoring systems
Credit ratings
Country risk
Issue Date: Nov-2013
Abstract: The purpose of this study is to examine the main determinants of the sovereign credit ratings provided by the three major rating agencies: Fitch Ratings, Moody s and Standard and Poor s. We follow the Shadow Rating approach in order to model the logit of the Probability of Default (PD) of the ratings, and apply cross section and panel data econometrics to select the most explanatory and robust variables.
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Appears in Collections:Produção BNDES - Artigos

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