Download or read book A Century of Sovereign Ratings written by Norbert Gaillard and published by Springer Science & Business Media. This book was released on 2011-09-21 with total page 200 pages. Available in PDF, EPUB and Kindle. Book excerpt: The financial difficulties experienced by Greece since 2009 serve as a reminder that countries (i.e., sovereigns) may default on their debt. Many observers considered the financial turmoil was behind us because major advanced countries had adopted stimulus packages to prevent banks from going bankrupt. However, there are rising doubts about the creditworthiness of several advanced countries that participated in the bailouts. In this uncertain context, it is particularly crucial to be knowledgeable about sovereign ratings. This book provides the necessary broad overview, which will be of interest to both economists and investors alike. Chapter 1 presents the main issues that are addressed in this book. Chapters 2, 3, and 4 provide the key notions to understand sovereign ratings. Chapter 2 presents an overview of sovereign rating activity since the first such ratings were assigned in 1918. Chapter 3 analyzes the meaning of sovereign ratings and the significance of rating scales; it also describes the refinement of credit rating policies and tools. Chapter 4 focuses on the sovereign rating process. Chapters 5 and 6 open the black box of sovereign ratings. Chapter 5 compares sovereign rating methodologies in the interwar years with those in the modern era. After examining how rating agencies have amended their methodologies since the 1990s, Chapter 6 scrutinizes rating disagreements between credit rating agencies (CRAs). Chapters 7 and 8 measure the performances of sovereign ratings by computing default rates and accuracy ratios: Chapter 7 looks at the interwar years and Chapter 8 at the modern era. The two chapters assess which CRA assigns the most accurate ratings during the respective periods. Chapters 9 and 10 compare the perception of sovereign risk by the CRAs and market participants. Chapter 9 focuses on the relation between JP Morgan Emerging Markets Bond Index Global spreads and emerging countries’ sovereign ratings for the period 1993–2007. Chapter 10 compares the eurozone members’ sovereign ratings with Credit Default Swap-Implied Ratings (CDS-IRs) during the Greek debt crisis of November 2009–May 2010.
Download or read book Sovereign Credit Rating written by Ahmed Naciri and published by Routledge. This book was released on 2016-12-19 with total page 177 pages. Available in PDF, EPUB and Kindle. Book excerpt: The current degradation of sovereign balance sheets raises very real concerns about how sovereign creditworthiness is measured by credit rating agencies. Given the disastrous economic and social effects of any downgrade, the book offers an alternative and calls for more transparency about the quantitative measures used in calibrating the rating process and how sovereign ratings are validated. It argues that oversight is required and procedures improved, including subjecting methodologies of assessing default to more standardization and monitoring. Sovereign Credit Rating explains the process of sovereign creditworthiness assessment and explores the consequences of possible inaccuracies in the process. Developing an innovative new methodology to assess ratings accuracy, it shows that the announcement of each rating action by the major credit rating agencies show alarming inconsistencies. Written by an internationally recognized author and professor, this unique book will be of interest to researchers and advanced students in corporate governance, accounting, public finance and regulation.
Download or read book The Rating Agencies and Their Credit Ratings written by Herwig Langohr and published by John Wiley & Sons. This book was released on 2010-04-01 with total page 524 pages. Available in PDF, EPUB and Kindle. Book excerpt: Credit rating agencies play a critical role in capital markets, guiding the asset allocation of institutional investors as private capital moves freely around the world in search of the best trade-off between risk and return. However, they have also been strongly criticised for failing to spot the Asian crisis in the early 1990s, the Enron, WorldCom and Parmalat collapses in the early 2000s and finally for their ratings of subprime-related structured finance instruments and their role in the current financial crisis. This book is a guide to ratings, the ratings industry and the mechanics and economics of obtaining a rating. It sheds light on the role that the agencies play in the international financial markets. It avoids the sensationalist approach often associated with studies of rating scandals and the financial crisis, and instead provides an objective and critical analysis of the business of ratings. The book will be of practical use to any individual who has to deal with ratings and the ratings industry in their day-to-day job. Reviews "Rating agencies fulfil an important role in the capital markets, but given their power, they are frequently the object of criticism. Some of it is justified but most of it portrays a lack of understanding of their business. In their book The Rating Agencies and their Credit Ratings, Herwig and Patricia Langohr provide an excellent economic background to the role of rating agencies and also a thorough understanding of their business and the problems they face. I recommend this book to all those who have an interest in this somewhat arcane but extremely important area." -Robin Monro-Davies, Former CEO, Fitch Ratings. "At a time of unprecedented public and political scrutiny of the effectiveness and indeed the basic business model of the Credit Rating industry, and heightened concerns regarding the transparency and accountability of the leading agencies, this book provides a commendably comprehensive overview, and should provide invaluable assistance in the ongoing debate." -Rupert Atkinson, Managing Director, Head of Credit Advisory Group, Morgan Stanley and member of the SIFMA Rating Agency Task Force "The Langohrs have provided useful information in a field where one frequently finds only opinions or misconceptions. They supply a firm base from which to understand changes now underway. A well-read copy of this monograph should be close to the desk of every investor, issuer and financial regulator, legislator or commentator." -John Grout, Policy and Technical Director, The Association of Corporate Treasurers
Download or read book Rating Politics written by Zsófia Barta and published by Oxford University Press. This book was released on 2023-04-27 with total page 225 pages. Available in PDF, EPUB and Kindle. Book excerpt: How do countries' political and policy choices affect the credit ratings they receive? Sovereign ratings influence countries' cost of funding, and observers have long worried that rating agencies - these unelected, unappointed, unaccountable, for-profit organizations - can interfere with democratic sovereignty if they assign lower ratings to certain political and policy choices. The questions of whether, how, and why ratings react to policy and politics, however, remain unexplored. Rating Politics opens the black box of sovereign ratings to uncover the logic that drives rating responses to political and policy factors. Relying on statistical analysis of rating scores, interviews with sovereign rating analysts, and a close reading of the official communications of rating agencies about their decisions, Zsófia Barta and Alison Johnston show that ratings penalize center-left governments and many (though not all) policies associated with the center-left agenda. The motivation for such penalties is not rooted in assumptions about how those political and policy features affect growth and debt servicing capacity. Instead, ratings are lower in the presence of those features because they are expected to make a country more vulnerable to market panics whenever the economy is hit by unforeseen shocks, as they signal insufficient willingness and/or ability to engage in determined austerity for the sake of reassuring markets. Since market panics and the resulting "sudden stops" of funding lead to humiliating collapses of ratings, rating agencies attempt to insure themselves against "rating failures" by pre-emptively assigning lower ratings to countries with the "wrong" political and policy mix.
Download or read book Ratings Rating Agencies and the Global Financial System written by Richard M. Levich and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 380 pages. Available in PDF, EPUB and Kindle. Book excerpt: Ratings, Rating Agencies and the Global Financial System brings together the research of economists at New York University and the University of Maryland, along with those from the private sector, government bodies, and other universities. The first section of the volume focuses on the historical origins of the credit rating business and its present day industrial organization structure. The second section presents several empirical studies crafted largely around individual firm-level or bank-level data. These studies examine (a) the relationship between ratings and the default and recovery experience of corporate borrowers, (b) the comparability of credit ratings made by domestic and foreign rating agencies, and (c) the usefulness of financial market indicators for rating banks, among other topics. In the third section, the record of sovereign credit ratings in predicting financial crises and the reaction of financial markets to changes in credit ratings is examined. The final section of the volume emphasizes policy issues now facing regulators and credit rating agencies.
Download or read book Sovereign Rating News and Financial Markets Spillovers written by Bertrand Candelon and published by International Monetary Fund. This book was released on 2011-03-01 with total page 30 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines the spillover effects of sovereign rating news on European financial markets during the period 2007-2010. Our main finding is that sovereign rating downgrades have statistically and economically significant spillover effects both across countries and financial markets. The sign and magnitude of the spillover effects depend both on the type of announcements, the source country experiencing the downgrade and the rating agency from which the announcements originates. However, we also find evidence that downgrades to near speculative grade ratings for relatively large economies such as Greece have a systematic spillover effects across Euro zone countries. Rating-based triggers used in banking regulation, CDS contracts, and investment mandates may help explain these results.
Download or read book Credit Ratings and Sovereign Debt written by B. Paudyn and published by Springer. This book was released on 2014-06-19 with total page 245 pages. Available in PDF, EPUB and Kindle. Book excerpt: Bartholomew Paudyn investigates how governments across the globe struggle to constitute the authoritative knowledge underpinning the political economy of creditworthiness and what the (neoliberal) 'fiscal normality' means for democratic governance.
Download or read book The Nonlinear Relationship Between Public Debt and Sovereign Credit Ratings written by Metodij Hadzi-Vaskov and published by International Monetary Fund. This book was released on 2019-07-26 with total page 37 pages. Available in PDF, EPUB and Kindle. Book excerpt: This study investigates the nonlinear relationship between public debt and sovereign credit ratings, using a wide sample of over one hundred advanced, emerging, and developing economies. It finds that: i) higher public debt lowers the probability of being placed in a higher rating category; ii) the negative debt-ratings relationship is nonlinear and depends on the rating grade itself; and iii) the identified nonlinearity explains the differential impact of debt on ratings in advanced economies versus in emerging markets and developing economies. These results hold for both gross debt and net debt, and are robust to alternative dependent variable definitions, analytical techniques, and empirical specifications. These findings underscore the potential for fiscal consolidation in helping countries achieve a better credit rating.
Download or read book Sovereign Credit Ratings and Spreads in Emerging Markets written by Laura Jaramillo and published by International Monetary Fund. This book was released on 2011-03-01 with total page 19 pages. Available in PDF, EPUB and Kindle. Book excerpt: Sovereign investment grade status is often associated with lower spreads in international markets. Using a panel framework for 35 emerging markets between 1997 and 2010, thispaper finds that investment grade status reduces spreads by 36 percent, above and beyond what is implied by macroeconomic fundamentals. This compares to a 5-10 percent reduction in spreads following upgrades within the investment grade asset class, and no impact formovements within the speculative grade asset class, ceteris paribus. While global financial conditions play a central role in determining spreads, market sentiment improves with lower external public debt to GDP levels and higher domestic growth rates.
Download or read book Sovereign Credit Ratings Methodology written by Ashok Vir Bhatia and published by International Monetary Fund. This book was released on 2002-10 with total page 68 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper describes and evaluates the sovereign credit ratings methodologies of Standard & Poor's, Moody's Investors Service, and Fitch Ratings. A simple definition of ratings failure-based on ratings stability-is proposed and tested, pointing to falling failure rates, consistent upside bias, and strong interagency correlation. Possible causes of ratings failure are separated into informational, analytical, revenue bias, and other incentive problems, each of which is discussed. The paper seeks to highlight methodological developments after the Asian crisis, particularly with regard to the estimation of contingent liabilities and the assessment of international reserves adequacy.
Download or read book Methods for Decision Making in an Uncertain Environment written by Jaime Gil Aluja and published by World Scientific. This book was released on 2012 with total page 471 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book contains a selection of the papers presented at the XVII SIGEF Congress. It presents fuzzy logic, neural networks and other intelligent techniques applied to economic and business problems. This book is very useful for researchers and graduate students aiming to introduce themselves to the field of quantitative techniques for overcoming uncertain environments. The contributors are experienced scholars of different countries who offer real world applications of these mathematical techniques.
Download or read book Sovereign Credit Ratings An Introduction written by Asis Kumar Pain and published by . This book was released on 2009-05-20 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Sovereign ratings of a country aim at indicating the capacity and willingness of the Government to repay the debt obligations in full and on time. Imbibed within it are two objectives, which the rating agencies aim at achieving. The first one is to assess the creditworthiness of the Government, meaning assessment of sovereign risk. The second one is to assess the creditworthiness of the debt private creditors advanced in the form of bills, bonds etc. In short, the rating agencies aim at assessing and rating two entities obligor (issuer) and the obligation (the issue itself). Three big rating agencies S&P, Moody and the Fitch Ratings, are entrusted with the rating of the sovereigns. The time horizon for these rating agencies generally coincides with the maturity of the instrument being rated. The above discussion induces an inquisitive reader to delve more into the various aspects of sovereign ratings as well as their potential influences on different socio-economic parameters. The present volume elucidates the nitty-gritty of the ratings like their origin, determinants, influencing factors and significance. Also, looked into are some practical applications of such ratings to specific economies.
Download or read book Sovereign Ceilings lite The Impact of Sovereign Ratings on Corporate Ratings written by Eduardo Borensztein and published by . This book was released on 2013 with total page 33 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Rating Through the Cycle written by Mr.John Kiff and published by International Monetary Fund. This book was released on 2013-03-08 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt: Credit rating agencies face a difficult trade-off between delivering both accurate and stable ratings. In particular, its users have consistently expressed a preference for rating stability, driven by the transactions costs induced by trading when ratings change frequently. Rating agencies generally assign ratings on a through-the-cycle basis whereas banks' internal valuations are often based on a point-in-time performance, that is they are related to the current value of the rated entity's or instrument's underlying assets. This paper compares the two approaches and assesses their impact on rating stability and accuracy. We find that while through-the-cycle ratings are initially more stable, they are prone to rating cliff effects and also suffer from inferior performance in predicting future defaults. This is because they are typically smooth and delay rating changes. Using a through-the-crisis methodology that uses a more stringent stress test goes halfway toward mitigating cliff effects, but is still prone to discretionary rating change delays.
Download or read book Intelligent and Fuzzy Techniques for Emerging Conditions and Digital Transformation written by Cengiz Kahraman and published by Springer Nature. This book was released on 2021-08-23 with total page 899 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book presents recent research in intelligent and fuzzy techniques. Emerging conditions such as pandemic, wars, natural disasters and various high technologies force people for significant changes in business and social life. The adoption of digital technologies to transform services or businesses, through replacing non-digital or manual processes with digital processes or replacing older digital technology with newer digital technologies through intelligent systems is the main scope of this book. It focuses on revealing the reflection of digital transformation in our business and social life under emerging conditions through intelligent and fuzzy systems. The latest intelligent and fuzzy methods and techniques on digital transformation are introduced by theory and applications. The intended readers are intelligent and fuzzy systems researchers, lecturers, M.Sc. and Ph.D. students studying digital transformation. Usage of ordinary fuzzy sets and their extensions, heuristics and metaheuristics from optimization to machine learning, from quality management to risk management makes the book an excellent source for researchers.
Download or read book Are Rating Agencies Powerful An Investigation Into the Impact and Accuracy of Sovereign Ratings written by Mr.John Kiff and published by International Monetary Fund. This book was released on 2012-01-01 with total page 35 pages. Available in PDF, EPUB and Kindle. Book excerpt: We find that Credit Rating Agencies (CRA)'s opinions have an impact in the cost of funding of sovereign issuers and consequently ratings are a concern for financial stability. While ratings produced by the major CRAs perform reasonably well when it comes to rank ordering default risk among sovereigns, there is evidence of rating stability failure during the recent global financial crisis. These failures suggest that ratings should incorporate the obligor's resilience to stress scenarios. The empirical evidence also supports: (i) reform initiatives to reduce the impact of CRAs' certification services; (ii) more stringent validation requirements for ratings if they are to be used in capital regulations; and (iii) more transparency with regard to the quantitative parameters used in the rating process.
Download or read book Shadow Sovereign Ratings for Unrated Developing Countries written by Dilip Ratha and published by World Bank Publications. This book was released on 2007 with total page 37 pages. Available in PDF, EPUB and Kindle. Book excerpt: The authors attempt to predict sovereign ratings for developing countries that do not have risk ratings from agencies such as Fitch, Moody's, and Standard and Poor's. Ratings affect capital flows to developing countries through international bond, loan and equity markets. Sovereign rating also acts as a ceiling for the foreign currency rating of sub-sovereign borrowers. As of the end of 2006, however, only 86 developing countries have been rated by the rating agencies. Of these, 15 countries have not been rated since 2004. Nearly 70 developing countries have never been rated. The results indicate that the unrated countries are not always at the bottom of the rating spectrum. Several unrated poor countries appear to have a 'B' or higher rating, in a similar range as the emerging market economies with capital market access. Drawing on the literature, the analysis presents a stylized relationship between borrowing costs and the credit rating of sovereign bonds. The launch spread rises as the credit rating deteriorates, registering a sharp rise at the investment grade threshold. Based on these findings, a case can be made in favor of helping poor countries obtain credit ratings not only for sovereign borrowing, but for sub-sovereign entities' access to international debt and equity capital. The rating model along with the stylized relationship between spreads and ratings can be useful for securitization and other financial structures, and for leveraging official aid, for improving borrowing terms in poor countries.
