LDC Credit‐risk Forecasting and Banker Judgement

R. A. Somerville and R. J. Taffler

Journal of Business Finance & Accounting, 2001, vol. 28, issue 3‐4, 447-464

Abstract: This paper uses Institutional Investor credit ratings of less‐developed countries (LDCs) as indicators of banker judgement. We estimate a linear econometric model of the rating, and examine its predictive performance up to nine years out‐of‐sample. We conclude that the country‐risk assessments of international banks can be validly replicated by a parsimonious econometric model, reflecting a simple combination of a small amount of data.

Date: 2001
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