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Case Study: DBRS Sovereign Rating of Portugal. Analysis of Rating Methodology and Rating Decisions

Author

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  • Annika Luisa Hofmann
  • Miguel Ferreira
  • João Lampreia

Abstract

This paper analyzes and assesses the DBRS sovereign credit rating methodology and its rating decisions on Portugal. A replicated rating model on Portugal allows to assess the DBRS rating methodology and to identify country-specific risk factors. An OLS regression compares rating effects of ten fundamental variables among S&P, Moody’s, Fitch Ratings and DBRS. Further, a rating scale model fractionally disentangles DBRS rating grades into their subjective and objective rating components. Both qualitative and empirical findings attest DBRS a comparably lenient rating behavior on Portugal – in comparison to other rating agencies as well as within the DBRS cross-country rating decisions.

Suggested Citation

  • Annika Luisa Hofmann & Miguel Ferreira & João Lampreia, 2017. "Case Study: DBRS Sovereign Rating of Portugal. Analysis of Rating Methodology and Rating Decisions," GEE Papers 0073, Gabinete de Estratégia e Estudos, Ministério da Economia, revised Jul 2017.
    • Handle: RePEc:mde:wpaper:0073
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    References listed on IDEAS

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    1. Rudolf Alvise Lennkh & Antonello D'Agostino, 2016. "Euro Area Sovereign Ratings: An Analysis of Fundamental Criteria and Subjective Judgement," Working Papers 14, European Stability Mechanism.
    2. Raphael Studer & Rainer Winkelmann, 2017. "Econometric Analysis of Ratings — with an Application to Health and Wellbeing," Swiss Journal of Economics and Statistics, Springer;Swiss Society of Economics and Statistics, vol. 153(1), pages 1-13, January.
    3. Dilek Teker & Aynur Pala & Oya Kent, 2013. "Determination of Sovereign Rating: Factor Based Ordered Probit Models for Panel Data Analysis Modelling Framework," International Journal of Economics and Financial Issues, Econjournals, vol. 3(1), pages 122-132.
    4. Marlene Amstad & Frank Packer, 2015. "Sovereign ratings of advanced and emerging economies after the crisis," BIS Quarterly Review, Bank for International Settlements, December.
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