Case study: DBRS sovereign rating of Portugal - analysis of rating methodology and rating decisions

• Autor(a) principal: Hofmann, Annika Luisa
• Data de Publicação: 2017
• Tipo de documento: Dissertação
• Idioma: eng
• Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
• Texto Completo: http://hdl.handle.net/10362/26843
• topic: Sovereign risk model; Portugal; Subjective rating component; Domínio/Área Científica::Ciências Sociais::Economia e Gestão

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.