Comparison of Sovereigns Rating Scale

Student: Imangulov Amal

Educational Programme: Applied Mathematics and Information Science (Bachelor)

Year of Graduation: 2016

The paper discusses ways to combine multiple scales of sovereign credit ratings into a single rating space. An attempt to predict the sovereign rating on the basis of macroeconomic indicators was made. We used logistic regression, nonparametric regression and ordered selection model. Several options for converting rating scales into a single "base" scale was considered. Dimensional depending making a correct prediction in 91% of cases was received. Multivariate regression predictions were also obtained, but because of the small number of observations is relatively unstable. Ways to improve the work of these models in the future were suggested. Key words: credit rating, rating agency, modeling, econometric models, comparing scales, sovereign, country.

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