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Multilateral development bank credit rating methodology overcoming the challenges in assessing relative credit risk in highly rated institutions based on public data

Author: David Chen; Bank of Canada,
Publisher: Ottawa, Ontario, Canada : Bank of Canada = Banque du Canada, 2017. ©2017
Series: Staff discussion paper (Bank of Canada), 2017-6.
Edition/Format:   eBook : Document : National government publication : EnglishView all editions and formats
Summary:
"This paper provides a detailed technical description of a methodology designed to assign internal credit ratings to multilateral development banks (MDBs) using only publicly available data. Our MDB methodology relies on fundamental credit analysis that produces a forward-looking and through-the-cycle assessment of an MDB's capacity and willingness to pay its financial obligations, resulting in an opinion on the  Read more...
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Details

Material Type: Document, Government publication, National government publication, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: David Chen; Bank of Canada,
OCLC Number: 989789564
Language Note: Includes abstracts in English and French.
Notes: Distributed by the Government of Canada Depository Services Program (Weekly acquisitions list 2017-20).
"May 2017."
Description: 1 online resource (iii, 31 pages).
Series Title: Staff discussion paper (Bank of Canada), 2017-6.
Responsibility: by David Chen, Philippe Muller and Hawa Wagué.

Abstract:

"This paper provides a detailed technical description of a methodology designed to assign internal credit ratings to multilateral development banks (MDBs) using only publicly available data. Our MDB methodology relies on fundamental credit analysis that produces a forward-looking and through-the-cycle assessment of an MDB's capacity and willingness to pay its financial obligations, resulting in an opinion on the relative credit standing or likelihood of default. The paper focuses on the components of the methodology that are new to the science of credit risk assessment for MDBs, and includes components that have been borrowed from the existing literature. The authors' intention is that this paper will support efforts by managers of foreign exchange reserves and other investors to end mechanistic reliance on credit rating agency (CRA) ratings and instead establish or strengthen internal credit assessment practices. The methodology we present can be used as is by credit risk practitioners to assess the relative credit quality of an MDB, or it can be used to facilitate the development of a methodology that caters to their specific needs"--Introd., p. [1].

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