Modeling Country Risk Ratings Using Partial Orders
In order to evaluate the creditworthiness of various countries, a learning model is induced from the 1998 Standard and Poor's country risk ratings, using the 1998 values of nine economic and three political indicators. This learning model allows the construction of a partially ordered set describing the relative superiority of countries on the basis of their creditworthiness, and it is shown that the Condorcet linear extensions of this poset match closely the Samp;P ratings. Moreover, the ratings derived from the model correlate highly with those of other rating agencies. The model is shown to provide excellent ratings even when applied to the following years' data or to the ratings of previously unrated countries. Rating changes implemented by Samp;P in subsequent years resolved most of the (few) discrepancies between the constructed poset and Samp;P's initial ratings
Year of publication: |
[2007]
|
---|---|
Authors: | Hammer, Peter L. |
Other Persons: | Kogan, Alexander (contributor) ; Lejeune, Miguel (contributor) |
Publisher: |
[2007]: [S.l.] : SSRN |
Description of contents: | Abstract [papers.ssrn.com] |
Saved in:
Saved in favorites
Similar items by person
-
Reverse-Engineering Country Risk Ratings : Combinatorial Non-Recursive Model
Hammer, Peter L., (2008)
-
A Logical Analysis of Banks’ Financial Strength Ratings
Hammer, Peter L., (2016)
-
Threshold Boolean Form for Joint Probabilistic Constraints with Random Technology Matrix
Kogan, Alexander, (2015)
- More ...