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Judgmental Versus Quantitative Credit Risk Measures for Sovereigns

by Yen-Ting Hu of Birkbeck College and Risk Control Limited,
Rudiger Kiesel of London School of Economics,
William Perraudin of Birkbeck College & Risk Control Limited, and
Gerhard Stahl of Bundesaufsichtsamt für Kreditwesen

August 2005

Abstract: This paper compares the informational content of judgmentally determined sovereign ratings produced by a private sector bank and by the rating agency Standard and Poor's, with ratings derived from econometric analysis of sovereign default. We show that downgrades in both the bank and the agency ratings may be predicted using quantitative ratings whereas upgrades in the quantitative ratings appear to be predictable using judgmental ratings.

Keywords: Sovereign ratings, Standard and Poor's, sovereign default, judgmental ratings, quantitative ratings.

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