| File | Description | Size | Format | |
|---|---|---|---|---|
| assessing-country-risk-full2_P-final.pdf | 115.8 kB | Adobe PDF | View/OpenDownload |
| Title: | Assessing country risk: a PD model based on credit ratings |
| Authors: | Macedo, Henrique Fernandes Guimarães, André Luiz de Souza Cardoso, Vicente de Souza Lima, Jorge Cláudio Cavalcante de Oliveira |
| 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 Risk Rating agencies (Finance) Credit scoring systems Credit ratings Country risk |
| Issue Date: | Nov-2013 |
| Place: | Cambridge |
| 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. |
| Description: | Trabalho apresentado na 13th FRAP - Finance, Risk and Accounting Perspectives Conference, evento promovido pela Universidade de Cambridge, Inglaterra, nos dias 19 e 20 de novembro de 2013. Bibliografia: p. 11-12. |
| Type: | Artigo |
| Genre: | Textual |
| URI: | http://web.bndes.gov.br/bib/jspui/handle/1408/1702 |
| Date Available: | 2014-07-16T20:52:04Z 2018-03-19T16:13:22Z |
| Appears in Collections: | Produção BNDES - Artigos |
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