Sovereign Credit Risk Assessment with Multiple Criteria Using an Outranking Method
Joint Authors
de Lima Silva, Diogo F.
Silva, Julio Cezar Soares
Silva, Lucimário G. O.
Ferreira, Luciano
de Almeida-Filho, Adiel T.
Source
Mathematical Problems in Engineering
Issue
Vol. 2018, Issue 2018 (31 Dec. 2018), pp.1-11, 11 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2018-09-23
Country of Publication
Egypt
No. of Pages
11
Main Subjects
Abstract EN
In view of the records of failures in rating agencies’ assessments for sorting countries’ quality of credit in degrees of default risk, this paper proposes a multicriteria sorting model using reference alternatives so as to allocate sovereign credit securities into three categories of risk.
From a numerical application, what was observed from the results was a strong adherence of the model in relation to those of the agencies: Standard & Poor's and Moody's.
Since the procedure used by the agencies is extremely subjective and often questioned, the contribution of this paper is to put forward the use of an objective and transparent methodology to sort these securities.
Given the agencies’ conditions for undertaking the assessment, a complete similarity between the results obtained and the assignments of the agencies was not expected.
Therefore, this difference arises from subjective factors that the agencies consider but the proposed model does not.
Such subjective and questionable aspects have been partly responsible for the credibility of these credit agencies being diminished, especially after the 2007-2008 crisis.
American Psychological Association (APA)
de Lima Silva, Diogo F.& Silva, Julio Cezar Soares& Silva, Lucimário G. O.& Ferreira, Luciano& de Almeida-Filho, Adiel T.. 2018. Sovereign Credit Risk Assessment with Multiple Criteria Using an Outranking Method. Mathematical Problems in Engineering،Vol. 2018, no. 2018, pp.1-11.
https://search.emarefa.net/detail/BIM-1209388
Modern Language Association (MLA)
de Lima Silva, Diogo F.…[et al.]. Sovereign Credit Risk Assessment with Multiple Criteria Using an Outranking Method. Mathematical Problems in Engineering No. 2018 (2018), pp.1-11.
https://search.emarefa.net/detail/BIM-1209388
American Medical Association (AMA)
de Lima Silva, Diogo F.& Silva, Julio Cezar Soares& Silva, Lucimário G. O.& Ferreira, Luciano& de Almeida-Filho, Adiel T.. Sovereign Credit Risk Assessment with Multiple Criteria Using an Outranking Method. Mathematical Problems in Engineering. 2018. Vol. 2018, no. 2018, pp.1-11.
https://search.emarefa.net/detail/BIM-1209388
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-1209388