LDC Credit‐risk Forecasting and Banker Judgement | Zendy

Somerville R. A. | Zendy; Taffler R. J. | Zendy

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LDC Credit‐risk Forecasting and Banker Judgement

Author(s) -

Somerville R. A.,

Taffler R. J.

Publication year - 2001

Publication title -

journal of business finance and accounting

Language(s) - English

Resource type - Journals

SCImago Journal Rank - 1.282

H-Index - 77

eISSN - 1468-5957

pISSN - 0306-686X

DOI - 10.1111/1468-5957.00380

Subject(s) - judgement , credit rating , sample (material) , economics , econometric model , credit risk , econometrics , actuarial science , financial economics , chromatography , political science , law , chemistry

This paper uses Institutional Investor credit ratings of less‐developed countries (LDCs) as indicators of banker judgement. We estimate a linear econometric model of the rating, and examine its predictive performance up to nine years out‐of‐sample. We conclude that the country‐risk assessments of international banks can be validly replicated by a parsimonious econometric model, reflecting a simple combination of a small amount of data.

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