DeepDyve eBooks - A Century of Sovereign Ratings

Introduction

Gaillard, Norbert

Pages: 1 –2

[The credit rating agencies (CRAs) have been under criticism since the Asian crisis. At that time, they were held responsible for aggravating the liquidity crises of several Asian countries by downgrading these issuers’ ratings by as many as ten notches within 2 months. This controversy shed...

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The Booms and Busts of the Sovereign Rating Activity

Gaillard, Norbert

Pages: 3 –11

[In previous centuries, sovereigns often went bankrupt. For example, Spain defaulted three times during the Golden Century; it defaulted seven more times in the seventeenth, eighteenth, and nineteenth centuries. France defaulted eight times between 1500 and 1800. In the nineteenth century,...

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Definition, Typology, and Refinement of Sovereign Ratings

Gaillard, Norbert

Pages: 13 –29

[In its first 1918 Manual and Investment Letters, Moody’s defined its sovereign ratings as the relative creditworthiness of government. This measure has two components: the ability and the willingness (or the “good faith”) to repay the debt. In 1919, Moody’s claimed that its measure of...

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How Are Sovereign Ratings Assigned?

Gaillard, Norbert

Pages: 31 –38

[This chapter describes the rating process and emphasizes that CRAs have always used an analyst-driven approach to assign sovereign ratings.]

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Moody’s Sovereign Ratings: 1918–1939 and 1986–2006 Compared

Gaillard, Norbert

Pages: 39 –61

[This chapter analyzes the determinants of sovereign ratings in two different periods. It specifically focuses on ratings issued by Moody’s during the interwar years and today (1986–2006), two periods characterized by intense sovereign rating activity. The key finding is that although the...

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Sovereign Rating Methodologies: From Theory to Practice

Gaillard, Norbert

Pages: 63 –93

[This chapter opens the “black box” of leading CRAs’ sovereign rating methodologies. Because only Moody’s provided details about its rating criteria during the interwar years (see Chap. 5), the scope of this analysis is restricted to the “modern era” – that is, the period 1986–2010.]

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Consistency and Performance of Sovereign Ratings During the Interwar Years

Gaillard, Norbert

Pages: 95 –107

[This chapter provides a comparison of sovereign ratings issued by Fitch, Moody’s, Poor’s, and Standard Statistics during the interwar years. The objective is to assess the quality of ratings assigned by these four CRAs by focusing on their ability to anticipate defaults.]

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Consistency and Performance of Sovereign Ratings Since the 1980s

Gaillard, Norbert

Pages: 109 –147

[This chapter compares the consistency and accuracy of sovereign ratings issued by Fitch, Moody’s, and S&P from January 1987 to January 2011. Sovereign rating policies have refined considerably – and information availability has been much enhanced – since 1918, so this chapter is more exhaustive...

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Fitch, Moody’s, and S&P Sovereign Ratings and EMBI Global Spreads: Lessons from 1993–2007

Gaillard, Norbert

Pages: 149 –170

[The past two decades have seen a remarkable growth in sovereign bond debt issued by emerging countries. This evolution was accompanied by the extensive use of the JP Morgan Emerging Markets Bond Index (EMBI) among investors. The EMBI, a total-return index that tracks the traded market for U.S....

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The Limits of Sovereign Ratings in Light of the Greek Debt Crisis of 2009–2010

Gaillard, Norbert

Pages: 171 –187

[This chapter explains why the CRAs failed to anticipate the Greek debt crisis of 2009–2010 and maintained views that diverged from the market’s during the crisis. Section 10.1 presents a review of the literature. Section 10.2 compares Fitch, Moody’s, and S&P sovereign ratings with credit default...

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A Century of Sovereign Ratings

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A Century of Sovereign Ratings

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