Statistical Properties of Sovereign Credit Ratings

  • Juan J. Cruces
  • Published 2001

Abstract

The sovereign credit rating is a key determinant of the cost and availability of international financing for an economy. This paper models ratings as a function of expected repayment capacity, derives testable hypotheses, and conducts a statistical analysis based of the ratings awarded by Institutional Investor. The key findings are as follows: 1) Expected… (More)

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