Sovereign Credit Ratings Methodology: An Evaluation
Electronic Access:
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Summary:
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.
Series:
Working Paper No. 2002/170
Subject:
Credit ratings Currencies External debt Financial institutions International bonds Money Public debt
English
Publication Date:
October 1, 2002
ISBN/ISSN:
9781451858433/1018-5941
Stock No:
WPIEA1702002
Pages:
60
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