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  5. Assessing country risk: a PD model based on credit ratings
Please use this identifier to cite or link to this item: http://bibliotecadigital.economia.gov.br/handle/123456789/527910
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dc.creatorMacedo, Henrique Fernandes-
dc.creatorGuimarães, André Luiz de Souza-
dc.creatorCardoso, Vicente de Souza-
dc.creatorLima, Jorge Cláudio Cavalcante de Oliveira-
dc.date.accessioned2014-07-16T20:52:04Z-
dc.date.accessioned2018-03-19T16:13:22Z-
dc.date.accessioned2022-05-12T03:57:43Z-
dc.date.available2014-07-16T20:52:04Z-
dc.date.available2018-03-19T16:13:22Z-
dc.date.available2022-05-12T03:57:43Z-
dc.date.created2014-07-16T20:52:04Z-
dc.date.created2018-03-19T16:13:22Z-
dc.date.issued2013-11-
dc.identifierhttp://web.bndes.gov.br/bib/jspui/handle/1408/1702-
dc.identifier.urihttp://bibliotecadigital.economia.gov.br/handle/123456789/527910-
dc.description.abstractThe 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.-
dc.languageen-
dc.subjectAvaliação de riscos-
dc.subjectRisco (Economia)-
dc.subjectAgências de classificação de risco (Finanças)-
dc.subjectSistemas de avaliação de risco de crédito (Finanças)-
dc.subjectCréditos - Avaliação-
dc.subjectRisco país-
dc.subjectRisk assessment-
dc.subjectRisk-
dc.subjectRating agencies (Finance)-
dc.subjectCredit scoring systems-
dc.subjectCredit ratings-
dc.subjectCountry risk-
dc.titleAssessing country risk: a PD model based on credit ratings-
dc.typeArtigo-
Appears in Collections:Produção BNDES - Artigos

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