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

Annika Luisa Hofmann (), Miguel Ferreira () and João Lampreia

No 73, GEE Papers from Gabinete de Estratégia e Estudos, Ministério da Economia

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.

Keywords: Sovereign Risk Model; Portugal; Subjective Rating Component (search for similar items in EconPapers)
Pages: 26 pages
Date: 2017-07, Revised 2017-07
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http://www.gee.gov.pt/RePEc/WorkingPapers/GEE_PAPERS_73.pdf First version, 2017 (application/pdf)

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