Multilateral development bank credit rating methodology : overcoming the challenges in assessing relative credit risk in highly rated institutions based on public data / by David Chen, Philippe Muller...: FB3-6/2017-6E-PDF

"This paper provides a detailed technical description of a methodology designed to assign internal credit ratings to multilateral development banks (MDBs) using only publicly available data. Our MDB methodology relies on fundamental credit analysis that produces a forward-looking and through-the-cycle assessment of an MDB’s capacity and willingness to pay its financial obligations, resulting in an opinion on the relative credit standing or likelihood of default. The paper focuses on the components of the methodology that are new to the science of credit risk assessment for MDBs, and includes components that have been borrowed from the existing literature. The authors’ intention is that this paper will support efforts by managers of foreign exchange reserves and other investors to end mechanistic reliance on credit rating agency (CRA) ratings and instead establish or strengthen internal credit assessment practices. The methodology we present can be used as is by credit risk practitioners to assess the relative credit quality of an MDB, or it can be used to facilitate the development of a methodology that caters to their specific needs"--Introd., p. [1].

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Publication information
Department/Agency Bank of Canada.
Title Multilateral development bank credit rating methodology : overcoming the challenges in assessing relative credit risk in highly rated institutions based on public data / by David Chen, Philippe Muller and Hawa Wagué.
Variant title Overcoming the challenges in assessing relative credit risk in highly rated institutions based on public data
Series title Bank of Canada staff discussion paper, 1914-0568 ; 2017-6
Publication type Series - View Master Record
Language [English]
Format Electronic
Electronic document
Note(s) "May 2017."
Includes bibliographical references.
Includes abstract in French.
Publishing information [Ottawa] : Bank of Canada, 2017.
Author / Contributor Chen, David Xiao.
Muller, Philippe,1972-
Wagué, Hawa.
Description iii, 31 p. : col. charts
Catalogue number
  • FB3-6/2017-6E-PDF
Subject terms Banks
Credit
Risk management
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