QUANTIFYING SOVEREIGN CREDIT RATINGS: A REAPPRAISAL OF STATISTICAL SOVEREIGN RISK MODELS / LA QUANTIFICATION DU DEGRE DE SOLVABILITE D'UN ETAT: UNE REEVALUATION DES MODELES STATISTIQUES CONCERNANT LES RISQUES ETATIQUES

Diversities in current practices and research relating to sovereign risk analysis (SRA) are contrasted with the need to concentrate on the implications of unforeseeable events and the broader macroeconomic contexts of sovereign borrowing. Extensions and in tegrations of otherwise conventional concepts and methods of analysis plus an emphasis on comparative evidence are discussed as means of quantifying credit ratings in terms of a proxy for debt management histories and summaries of all relevant latest available information. The latter effectively formalise the sensitivities of country reports and the various interrelationships between explanatory variables. More flexible dependent variable formulations, the need for care in sample selections, and more pertinent forecast error analysis procedures for SRA are also reviewed.