FSRC - Financial System Research Center

• Assessing the Predictive Ability of Sovereign Default Risk on Exchange Rate Returns

  Staff Working Paper 2017-19 Claudia Foroni, Francesco Ravazzolo, Barbara Sadaba

  Increased sovereign credit risk is often associated with sharp currency movements. Therefore, expectations of the probability of a sovereign default event can convey important information regarding future movements of exchange rates.

  Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods, Exchange rates, International financial markets JEL Code(s): C, C2, C22, C5, C52, C53, F, F3, F31

• Methodology for Assigning Credit Ratings to Sovereigns

  Staff Discussion Paper 2017-7 Philippe Muller, Jérôme Bourque

  The investment of foreign exchange reserves or other asset portfolios requires an assessment of the credit quality of investment counterparties. Traditionally, foreign exchange reserve and asset managers have relied on credit rating agencies (CRAs) as the main source for credit assessments.

  Content Type(s): Staff research, Staff discussion papers Topic(s): Credit risk management, Foreign reserves management JEL Code(s): F, F3, F31, G, G2, G24, G28, G3, G32

• Multilateral Development Bank Credit Rating Methodology: Overcoming the Challenges in Assessing Relative Credit Risk in Highly Rated Institutions Based on Public Data

  Staff Discussion Paper 2017-6 David Xiao Chen, Philippe Muller, Hawa Wagué

  The investment of foreign exchange reserves or other asset portfolios requires an assessment of the credit quality of counterparties. Traditionally, foreign exchange reserve managers and other investors have relied on credit rating agencies (CRAs) as the main source for credit assessments.

  Content Type(s): Staff research, Staff discussion papers Topic(s): Credit risk management, Foreign reserves management JEL Code(s): F, F3, F31, G, G2, G24, G28, G3, G32