A century of sovereign ratings:
Saved in:
| Main Author: | |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
New York, NY [u.a.]
Springer
2012
|
| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Physical Description: | X, 196 S. graph. Darst. |
| ISBN: | 9781461405221 |
Staff View
MARC
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Record in the Search Index
| _version_ | 1804148411335704576 |
|---|---|
| adam_text | Contents
Introduction
............................................................................................. 1
The Booms and Busts of the Sovereign Rating Activity
...................... 3
2.1
Expansion of the Sovereign Rating Activity During
the Interwar Years
............................................................................ 4
2.2
The Decline of Sovereign Rating
..................................................... 6
2.3
The Recovery from the
Mid-1970s.................................................. 8
References
................................................................................................. 10
Definition, Typology, and Refinement of Sovereign Ratings
............... 13
3.1
Definition of Ratings
........................................................................ 13
3.2
Significance of Rating Scales
........................................................... 14
3.2.1
The Meaning and the Widening of Rating Scales
................ 14
3.2.2
The Dividing Line Between Investment Grade
and Speculative Grade
.......................................................... 17
3.3
Main Credit Rating Policies and Procedures
................................... 20
3.3.1
Short-Term Ratings
.............................................................. 20
3.3.2
Reviews for Possible Rating Change
................................... 22
3.3.3
Rating Outlooks
................................................................... 23
3.4
Local and Foreign Currency Ratings
............................................... 23
3.5
The Country Ceiling
........................................................................ 24
3.6
Rating Sovereigns That Default
....................................................... 25
3.7
Sovereign Recovery Ratings
............................................................ 27
References
................................................................................................. 29
How Are Sovereign Ratings Assigned?
................................................. 31
4.1
Introduction
...................................................................................... 31
4.2
The Sovereign Rating Teams
........................................................... 31
4.2.1
The Interwar Years
............................................................... 31
4.2.2
The Modern Era
................................................................... 33
,iii
Contents
4.3
The Sovereign Rating Process
......................................................... 34
4.3.1
Shifting from Unsolicited to Solicited Ratings
.................... 35
4.3.2
Importance of the Rating Committee
................................... 36
References
................................................................................................. 38
5
Moody s Sovereign Ratings:
1918-1939
and
1986-2006
Compared
................................................................................................ 39
5.1
Review of the Literature
................................................................... 39
5.2
Moody s Rating Policy
.................................................................... 40
5.3
Moody s Official Methodologies
..................................................... 44
5.4
Empirical Analysis of the Determinants of Moody s
Sovereign Ratings
............................................................................ 50
5.5
Concluding Remarks
........................................................................ 60
References
................................................................................................. 60
6
Sovereign Rating Methodologies: From Theory to Practice
............... 63
6.
1 Evolution and Comparison of Official Rating Criteria
.................... 63
6.1.
1 Common and Unchanged Methods for Assessing
Sovereign Risk
..................................................................... 64
6.1.2
More Crises Lead to Expanded Criteria
............................... 64
6.1.3
Modeling Sovereign Risk
..................................................... 67
6.2
Determinants of Sovereign Ratings
................................................. 72
6.2.1
Conventional Determinants
.................................................. 72
6.2.2
Determinants Specific to Low- and Middle-Income
Countries
.............................................................................. 72
6.3
Rating Gaps Across Agencies
.......................................................... 76
6.3.
1 Split Ratings Among Fitch, Moody s, and S&P
.................. 76
6.3.2
Split Ratings Between Leading Agencies
and Smaller Non-U.S. Firms
................................................ 85
References
................................................................................................. 90
7
Consistency and Performance of Sovereign Ratings During
the Interwar Years
.................................................................................. 95
7.1
Review of the Literature
................................................................... 95
7.2
Analysis of Rating Changes
............................................................. 96
7.3
Analysis of Average Cumulative Default Rates
............................... 101
7.4
Concluding Remarks
........................................................................ 106
References
................................................................................................. 107
8
Consistency and Performance of Sovereign Ratings
Since the
1980s..................................................,...................................... 109
8.1
Review of the Literature
................................................................... 109
8.2
Sovereign Rating Reviews and Outlooks
......................................... 110
8.2.1
Sovereign Rating Reviews
...................................................
1
11
8.2.2
Sovereign Rating Outlooks
.................................................. 115
8.2.3
Outlook/Watchlist Status Prior to Rating Change
Announcements
.................................................................... 122
Contents
¡x
8.3
Stability of Sovereign
Ratings......................................................... 125
8.3.1
Frequency and Magnitude of Rating Changes
.................. 125
8.3.2
Rating Migration Matrices
................................................ 127
8.3.3
Rating Reversals
................................................................ 133
8.4
Accuracy of Sovereign Ratings
...................................................... 136
8.4.1
Ratings Priorto Default
.................................................... 136
8.4.2
Average Cumulative Default Rates
................................... 138
8.4.3
Cumulative Accuracy Profiles and Accuracy Ratios
........ 141
8.5
Conclusions
.................................................................................... 146
References
................................................................................................. 147
9
Fitch, Moody s, and S&P Sovereign Ratings and EMBI
Global Spreads: Lessons from
1993-2007............................................ 149
9.1
Review of the Literature
................................................................. 150
9.2
Correlations Between EMBIG Spreads and Fitch, Moody s,
and S&P Ratings
............................................................................ 150
9.2.1
Data Description
................................................................ 150
9.2.2
A Univariate Model of Spreads
........................................ 152
9.3
Adjustments of Ratings to Market Spreads
.................................... 153
9.3.1
Adjustments of Ratings to Excessively High/Low
Spreads
.............................................................................. 153
9.3.2
Adjustments of Ratings to Strong Increase/Decrease
in Spreads
.......................................................................... 158
9.4
Reaction of Market Spreads to Rating Changes
............................. 160
9.5
Conclusions
.................................................................................... 169
References
................................................................................................. 169
10
The Limits of Sovereign Ratings in Light of the Greek Debt
Crisis of
2009-2010.................................................................................. 171
10.1
Review of the Literature
................................................................. 171
10.2
Perception of Sovereign Risk During the Greek
Debt Crisis: Ratings vs. CDS-IRs
.................................................. 173
Ш.2.
1
Chronicle of a Debt Crisis Foretold
..................................
1
73
10.2.2
Data Description and Methods
.......................................... 174
10.2.3
Sticky Ratings vs. Volatile CDS-IRs
............................. 175
10.3
How CRAs Were Cornered
............................................................
1
83
10.3.1
The Daedalean Labyrinth
.................................................. 183
10.3.2
The Icarus Syndrome
........................................................ 184
10.4
Concluding Remarks
...................................................................... 185
References
................................................................................................. 186
χ
Contents
11
Conclusion
................................................................................................ 189
Appendix 1
Sovereign Bonds in USD or in GBP Listed
on the NYSE That Defaulted in
1931-1938........................... 191
Appendix
2
Sources Used in Chap.
5.......................................................... 193
Appendix
3
List of the
135
Bonds Included in the Sample Used
in Chap.
7.................................................................................. 195
|
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| isbn | 9781461405221 |
| language | English |
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| spelling | Gaillard, Norbert Verfasser aut A century of sovereign ratings Norbert Gaillard New York, NY [u.a.] Springer 2012 X, 196 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Geschichte 1918-2010 gnd rswk-swf Länderrating (DE-588)4274326-6 gnd rswk-swf Ausfallrisiko (DE-588)4205942-2 gnd rswk-swf Finanzkrise (DE-588)7635855-0 gnd rswk-swf Ratingagentur (DE-588)4276573-0 gnd rswk-swf Internationaler Kreditmarkt (DE-588)4120506-6 gnd rswk-swf Staatsanleihe (DE-588)4182638-3 gnd rswk-swf Internationaler Kreditmarkt (DE-588)4120506-6 s Staatsanleihe (DE-588)4182638-3 s Ausfallrisiko (DE-588)4205942-2 s Ratingagentur (DE-588)4276573-0 s Länderrating (DE-588)4274326-6 s Finanzkrise (DE-588)7635855-0 s Geschichte 1918-2010 z DE-188 Erscheint auch als Online-Ausgabe 978-1-4614-0523-8 Digitalisierung UB Regensburg application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=024431742&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Gaillard, Norbert A century of sovereign ratings Länderrating (DE-588)4274326-6 gnd Ausfallrisiko (DE-588)4205942-2 gnd Finanzkrise (DE-588)7635855-0 gnd Ratingagentur (DE-588)4276573-0 gnd Internationaler Kreditmarkt (DE-588)4120506-6 gnd Staatsanleihe (DE-588)4182638-3 gnd |
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| title | A century of sovereign ratings |
| title_auth | A century of sovereign ratings |
| title_exact_search | A century of sovereign ratings |
| title_full | A century of sovereign ratings Norbert Gaillard |
| title_fullStr | A century of sovereign ratings Norbert Gaillard |
| title_full_unstemmed | A century of sovereign ratings Norbert Gaillard |
| title_short | A century of sovereign ratings |
| title_sort | a century of sovereign ratings |
| topic | Länderrating (DE-588)4274326-6 gnd Ausfallrisiko (DE-588)4205942-2 gnd Finanzkrise (DE-588)7635855-0 gnd Ratingagentur (DE-588)4276573-0 gnd Internationaler Kreditmarkt (DE-588)4120506-6 gnd Staatsanleihe (DE-588)4182638-3 gnd |
| topic_facet | Länderrating Ausfallrisiko Finanzkrise Ratingagentur Internationaler Kreditmarkt Staatsanleihe |
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