LDC Credit‐risk Forecasting and Banker Judgement
用机构投资者对欠发达国家的信用评级代表银行家判断，建立线性计量模型复制该评级，并检验其九年的样本外预测表现，发现简洁模型能有效复制银行的国家风险评估。
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.