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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
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    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.
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