A COMPARATIVE ANALYSIS OF SOVEREIGN CREDIT RATING METHODS AND CREDIT DEFAULT SWAPS

Yıl 2017, Cilt: 17 Sayı: 4, 107 - 124, 30.12.2017

Burak Pirdal

Öz

The measurement and evaluation of credit notes of the country especially in the last half century has become quite important and these assessments have become a vital factor for the macroeconomic performance of the countries. In this context, two of the methods that can be applied to measure the credibility of the countries are rating by credit rating agencies and credit default swaps. Both of these methods which have different methodology reflect the credit ratings of countries. In this study a comparative analysis of these two methods is performed and similarities and differences between them has been demonstrated. Also the consistency of the results obtained by these two methods are analyzed and a policy implication is
proposed on the methods of sovereign credit rating.

Anahtar Kelimeler

Credit Default Swap, Credit Rating, Credit Rating Methods

ÜLKE KREDİ DERECELENDİRME YÖNTEMLERİ VE KREDİ TEMERRÜD SWAPLARININ KARŞILAŞTIRMALI BİR ANALİZİ

Öz

Ülkelerin kredi notlarının ölçülmesi ve değerlendirilmesi özellikle son yarım yüzyılda oldukça önem kazanmış ve bu değerlendirmeler ülkelerin makroekonomik performansları için önemli faktörler haline gelmişlerdir. Bu bağlamda, ülkelerin kredibilitelerinin ölçülmesinde başvurulabilecek metodlardan ikisi kredi derecelendirme kuruluşlarının değerlendirmeleri ve kredi temerrüd
swaplarıdır. Her ikisi de tamamen farklı methodolojilere sahip olan bu yöntemler ülkelerin kredi notlarını yansıtır. Bu çalışmada bu iki yöntemin karşılaştırmalı analizi yapılarak, benzer ve farklı yönleri ortaya konulmuştur. Ayrıca bu iki yöntemle elde edilen sonuçların tutarlılığı da analiz edilmiştir ve ülke kredi derecelndirme yöntemlerine ilişkin politika önerilerinde bulunulmuştur.

Anahtar Kelimeler

Kredi Temerrüt Swapı, Kredi Derecelendirme, Kredi Derecelendirme Yöntemleri

Kaynakça

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