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20 January 2012

IMF investigation into the impact and accuracy of sovereign ratings


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信用格付け機関の意見は、ソブリン発行体の資金調達コストに影響を及ぼし、結果的に格付けは金融の安定性の懸念要因であるというのが調査の結果である。


While ratings produced by the major credit rating agencies (CRAs) perform reasonably well when it comes to rank ordering default risk among sovereigns, there is evidence of rating stability failure during the recent global financial crisis. These failures suggest that ratings should incorporate the obligor’s resilience to stress scenarios.

The empirical evidence also supports:

  • (i) reform initiatives to reduce the impact of CRAs’ certification services;
  • (ii) more stringent validation requirements for ratings if they are to be used in capital regulations; and
  • (iii) more transparency with regard to the quantitative parameters used in the rating process.

Full study



© International Monetary Fund


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