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].
Lien permanent pour cette publication :
publications.gc.ca/pub?id=9.836689&sl=1
Ministère/Organisme | Bank of Canada. |
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Titre | 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. |
Variante du titre | Overcoming the challenges in assessing relative credit risk in highly rated institutions based on public data |
Titre de la série | Bank of Canada staff discussion paper, 1914-0568 ; 2017-6 |
Type de publication | Série - Voir l'enregistrement principal |
Langue | [Anglais] |
Format | Électronique |
Document électronique | |
Note(s) | "May 2017." Includes bibliographical references. Includes abstract in French. |
Information sur la publication | [Ottawa] : Bank of Canada, 2017. |
Auteur / Contributeur | Chen, David Xiao. Muller, Philippe,1972- Wagué, Hawa. |
Description | iii, 31 p. : col. charts |
Numéro de catalogue |
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Descripteurs | Banks Credit Risk management |
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