Sovereign Credit Ratings Methodology an Evaluation
By Ashok Vir Bhatia. Social Science Research Network, 2002
138 citations recorded by the source corpus.
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 failurebased 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.
Subfields: Finance
View Paper: https://www.semanticscholar.org/paper/0cc274f8bdb0d97b4e1038223af839b98dcad300
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Citations in the corpus
- Do Collective Action Clauses Raise Borrowing Costs (2004, unknown): “…and ‘high’ rated issuers in what follows.7 7 The term ‘high’ is relative, since according to the Moody’s ratings the bulk of the issuers in that category are in the ‘B’ category (though typically at the high end of ‘B’) and, as such, have five-year default probabilities of 2 and 5% (Bhatia, 2002).”
- Finding the “Democratic Advantage” in Sovereign Bond Ratings: The Importance of Strong Courts, Property Rights Protection, and the Rule of Law (2012, background): “…bond ratings on mortgage-backed securities ~White 2009!+ For the context of this article, we focus on the role of CRAs in rating sovereign issues+ 16+ Bhatia 2002, 6+ 17+ Ibid+ 18+ Ibid+ 19+ Schwarcz 2001, 299+ Finding the ‘Democratic Advantage’ in Sovereign Bond Ratings 517 fortunes of highly…”
- CREDIT RATING AGENCIES AND THEIR POTENTIAL IMPACT ON DEVELOPING COUNTRIES (2007, background): “Bhatia (2002), notes that CRAs’ analyses prior to the Asian financial crisis focused on traditional macroeconomic indicators with limited emphasis on contingent liability and international liquidity considerations.”