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Case study: DBRS sovereign rating of Portugal - analysis of rating methodology and rating decisions
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This paper analyzes and assesses the DBRS sovereign credit rating methodology and its rating decisions on Portugal. A replicated rating model on Portugal allows to assess the DBRS rating methodology and to identify country-specific risk factors. An OLS regression compares rating effects of ten fundamental variables among S&P, Moody’s, Fitch Ratings and DBRS. Further, a rating scale model fractionally disentangles DBRS rating grades into their subjective and objective rating components. Both qualitative and empirical findings attest DBRS a comparably lenient rating behavior on Portugal –in comparison to other rating agencies as well as within the DBRS cross-country rating decisions.
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Sovereign risk model Portugal Subjective rating component