Measurement Of Sovereign Credit Quality

Review of sovereign credit quality and crowd-sourced views from IRB Banks. Summary:

  • Sovereign credit crises tend to occur in waves and Sovereign credit quality measurement aims to identify the most vulnerable countries.
  • Agency ratings do not cover every country, but consensus views crowd-sourced from global IRB banks cover many of the same Sovereigns and extend to a number of unrated Sovereigns.
  • Crowd-sourced bank views have a 96% fit with agency ratings, but are more conservative.
  • Bank views provide benchmarks for agency ratings, CDS spreads and real bond yields.
  • Bank views also support unbiased, monthly evaluated credit benchmarks for unrated Sovereigns.

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