Rating suwerena - istota i znaczenie

• Autorzy: Piotr Wiśniewski

Warianty tytułu

Sovereign Credit Rating - Its Meaning and Aim

• Języki publikacji: PL

Abstrakty

Artykuł dotyczy ratingu suwerena dającego użyteczną miarę prawdopodobieństwa spłaty zobowiązań wynikających z emisji skarbowych papierów dłużnych. Autor ocenił wpływ agencji ratingowych na globalne rynki finansowe oraz wskazał na ograniczenia tkwiące zarówno w strukturze agencji ratingowych, jak i w ich otoczeniu. Podjął też próbę przedstawienia możliwych reform działania agencji ratingowych. Ponadto zaprezentował zmiany polskiego ratingu w latach 1995-2010.

EN

This article provides an overview of sovereign credit rating, which is a tool used to evaluate a country's level of investment risk. The paper begins with a definition of sovereign risk rating and a discussion of its implications. The second section focuses on the issues of credit rating as well as rating agencies' activities, the methodologies they use, and the role of credit ratings in the economy. The author also discusses limitations of these agencies' recently published research on the global economic crisis and eurozone turmoil. In the last section, a rationale for reforming the rating agencies is discussed and methodological suggestions are presented, particularly with regard to countries' creditworthiness assessments. (original abstract)

Słowa kluczowe

PL

Agencje ratingowe; Rynki finansowe; Zadłużenie; Poręczenie

EN

Rating agency; Financial markets; Indebtedness; Surety

• Czasopismo: Studia BAS
• Rocznik: 2011
• Numer: nr 4 (28)
• Strony: 129-152

Twórcy

autor

Piotr Wiśniewski

• Szkoła Główna Handlowa w Warszawie

Bibliografia

• Afonso A. i inni, Sovereign Credit Ratings and Financial Markets Linkages: Application to European Data, "EBC Working Paper" 2011, No. 1347.
• Afonso A. i inni, What Hides behind Sovereign Debt Ratings?, "EBC Working Paper" 2007, No. 711.
• Arezki R. i inni, Sovereign Rating News and Financial Markets Spillovers: Evidence from the European Debt Crisis, International Monetary Fund (IMF) "Working Paper" 2011, No. 11/68.
• Becker B., Milbourn T., How Did Increased Competition Affect Credit Ratings?, National Bureau of Economic Research (NBER) "Working Paper" 2010, No. 16404.
• Block S., The Price of Democracy: Sovereign Risk Ratings, Bond Spreads and Political Business Cycles in Developing Countries, "Journal of International Money and Finance" 2004, No. 23.
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• Claessens S., Embrechts G., Basel II, Sovereign Ratings and Transfer Risk External versus Internal Ratings, University of Amsterdam, Amsterdam 2002.
• Hansoo K., Europe's Fiscal Crisis and Implications, Capital Market Opinion, Korea Capital Market Institute, 24 maja 2011 r.
• Hill P. i inni, Variations in sovereign credit quality assessments across rating agencies, "Journal of Banking & Finance" 2009, No. 34.
• Hu Y.-T. i inni, Judgmental Versus Quantitative Credit Risk Measures for Sovereigns, "RiskControl Research Paper" 2005, Ref. 5/1.
• Milewski P., Ratingi w gospodarce rynkowej z uwzględnieniem ratingu ubezpieczeniowego, "Gazeta Ubezpieczeniowa" 1999, nr 9/10.
• Mora N., Sovereign credit ratings: Guilty beyond reasonable doubt?, "Journal of Banking & Finance" 2005, No. 34.
• Organisation for Economic Co-operation and Development (OECD), Competition and Credit Rating Agencies, OECD Hearings, Paris 2010.
• Reinhart C.M., Sovereign Credit Ratings Before and After Financial Crises, The New York University-University of Maryland Project "The Role of Credit Rating Agencies in the International Economy", Maryland 2001.
• Sylla R., A Historical Primer on the Business of Credit Ratings, Economics Department, Stern School of Business, New York University, referat na konferencję "The Role of Credit Reporting Systems in the International Economy", World Bank, Washington 1-2 marca 2001 r.
• White L.J., A Brief History of Credit Rating Agencies: How Financial Regulation Entrenched this Industry's Role in the Subprime Mortgage Debacle of 2007-2008, "Mercatus Center - George Mason University, Working Paper" 2009, No. 59.
• Definicja ratingu kredytowego: http://www.lse.co.uk/financeglossary.asp?searchTerm=&iArticleID=1502&definition=credit_rating.
• Informacje nt. przesłuchań w Kongresie USA tzw. Wielkiej Trójki: http://www.sfexaminer.com/opinion/daily-outrage-moody-s-standard-amp-poor-fitch-offered-congress-pathetic-excuses?quicktabs_1=0.
• Liczba suwerennych państw wg Departamentu Stanu USA: http://www.state.gov/s/inr/rls/4250.htm.
• Materiały SEC: http://www.sec.gov/news/extra/credrate/eganjones2.htm.
• Metodyka modelowania ryzyka korporacyjnego: http://www.defaultrisk.com/.
• TIME (online): A Brief History Of: Rating Agencies: http://www.time.com/time/magazine/article/0,9171,1886559,00.html.