IDEAS home Printed from https://ideas.repec.org/a/scn/018481/14823118.html
   My bibliography  Save this article

Анализ Значений Суверенного Кредитного Рейтинга И Его Моделирование

Author

Listed:
  • Брагин Антон Игоревич

    (Всероссийская академия внешней торговли)

  • Кузнецов Евгений Николаевич

    (Всероссийская академия внешней торговли)

Abstract

Проведен анализ динамики значений суверенных кредитных рейтингов для 50 стран в период с 2000 по 2008 год и построена эконометрическая модель на основе этих панельных данных. Наиболее значимое (но разнонаправленное) влияние на суверенные рейтинги стран оказывают два показателя: ВВП на душу населения и Общий государственный долг, выраженный в процентах ВВП. Построенная модель может быть использована для расчета собственных оценок странового риска, которые с высокой вероятностью будут совпадать с будущими рейтингами международных рейтинговых агентств.

Suggested Citation

  • Брагин Антон Игоревич & Кузнецов Евгений Николаевич, 2011. "Анализ Значений Суверенного Кредитного Рейтинга И Его Моделирование," Российский внешнеэкономический вестник, CyberLeninka;Государственное образовательное учреждение Высшего профессионального образования Всероссийская академия внешней торговли Минэкономразвития России, vol. 2011(12), pages 21-36.
    • Handle: RePEc:scn:018481:14823118
    as

    Download full text from publisher

    File URL: http://cyberleninka.ru/article/n/analiz-znacheniy-suverennogo-kreditnogo-reytinga-i-ego-modelirovanie
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Fantazzini , Dean, 2009. "Econometric Analysis of Financial Data in Risk Management," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 14(2), pages 100-127.
    2. Fantazzini, Dean, 2008. "Credit Risk Management," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 12(4), pages 84-137.
    3. Fantazzini, Dean, 2008. "Econometric Analysis of Financial Data in Risk Management (continuation). Section III: Managing Operational Risk," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 11(3), pages 87-122.
    4. Fantazzini , Dean, 2009. "Credit Risk Management (Cont.)," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 13(1), pages 105-138.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Penikas, H., 2010. "Financial Applications of Copula-Models," Journal of the New Economic Association, New Economic Association, issue 7, pages 24-44.
    2. Казакова К.А. & Князев А.Г. & Лепёхин О.А., 2015. "Оптимальный размер банковского резерва: прогноз просроченной кредитной задолженности с использованием копулярных моделей. Optimum volume of bank reserve: forecasting of overdue credit indebtedness usi," Мир экономики и управления // Вестник НГУ. Cерия: Cоциально-экономические науки, Socionet;Новосибирский государственный университет, vol. 15(4), pages 59-76.
    3. Bologov , Yaroslav, 2013. "A copula-based approach to portfolio credit risk modeling," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 29(1), pages 45-66.
    4. Sangcheol Song, 2014. "Subsidiary Divestment: The Role of Multinational Flexibility," Management International Review, Springer, vol. 54(1), pages 47-70, February.
    5. Alina Mihaela Dima & Simona Vasilache, 2016. "Credit Risk modeling for Companies Default Prediction using Neural Networks," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(3), pages 127-143, September.
    6. Silvia Figini & Ron Kenett & SILVIA SALINI, 2010. "Integrating Operational and Financial Risk Assessments," UNIMI - Research Papers in Economics, Business, and Statistics unimi-1099, Universitá degli Studi di Milano.
    7. Penikas, Henry & Simakova, Varvara, 2009. "Interest Rate Risk Management Based on Copula-GARCH Models," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 13(1), pages 3-36.
    8. Andreeva, Galina & Calabrese, Raffaella & Osmetti, Silvia Angela, 2016. "A comparative analysis of the UK and Italian small businesses using Generalised Extreme Value models," European Journal of Operational Research, Elsevier, vol. 249(2), pages 506-516.
    9. Lore Dirick & Gerda Claeskens & Bart Baesens, 2017. "Time to default in credit scoring using survival analysis: a benchmark study," Journal of the Operational Research Society, Palgrave Macmillan;The OR Society, vol. 68(6), pages 652-665, June.
    10. Dean Fantazzini, 2022. "Crypto-Coins and Credit Risk: Modelling and Forecasting Their Probability of Death," JRFM, MDPI, vol. 15(7), pages 1-34, July.
    11. Dean Fantazzini & Raffaella Calabrese, 2021. "Crypto Exchanges and Credit Risk: Modeling and Forecasting the Probability of Closure," JRFM, MDPI, vol. 14(11), pages 1-23, October.
    12. Fantazzini , Dean, 2009. "Credit Risk Management (Cont.)," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 13(1), pages 105-138.
    13. Sangcheol Song, 2014. "Entry mode irreversibility, host market uncertainty, and foreign subsidiary exits," Asia Pacific Journal of Management, Springer, vol. 31(2), pages 455-471, June.
    14. Raffaella Calabrese, 2012. "Improving Classifier Performance Assessment of Credit Scoring Models," Working Papers 201204, Geary Institute, University College Dublin.
    15. Raffaella Calabrese, 2011. "Cost-sensitive classification for rare events: an application to the credit rating model validation for SMEs," Working Papers 201134, Geary Institute, University College Dublin.
    16. Ana Paula Matias Gama & Helena Susana Amaral Geraldes, 2012. "Credit risk assessment and the impact of the New Basel Capital Accord on small and medium‐sized enterprises," Management Research Review, Emerald Group Publishing Limited, vol. 35(8), pages 727-749, July.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:scn:018481:14823118. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: CyberLeninka (email available below). General contact details of provider: http://cyberleninka.ru/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.