A DATA ENVELOPMENT ANALYSIS BASED RANKING AND SORTING FRAMEWORK FOR EVALUATING THE SOVEREIGN CREDIT RATINGS

Download
2024-1-17
Mert, Mehmet Esat
The trend towards greater integration in international capital markets is particularly evident in the flow of capital towards countries exhibiting funding deficits, driven by the higher yields these markets often offer. In this dynamic financial environment, the role of sovereign credit ratings becomes important. These ratings act as essential indicators for investors, significantly influencing their decision-making processes and ultimately shaping the yield curves of these markets. Based on the above-mentioned point, in the first part of this thesis, using the countries' related economic indicators, DEA-based ranking and sorting approaches are examined to determine the sovereign credit ratings. Building on the findings in the first part, the accuracy of the credit ratings is evaluated together with the economic, fiscal and ESG (Environmental, Social, and Governance) factors as well as the credit ratings' stability.
Citation Formats
M. E. Mert, “A DATA ENVELOPMENT ANALYSIS BASED RANKING AND SORTING FRAMEWORK FOR EVALUATING THE SOVEREIGN CREDIT RATINGS,” Ph.D. - Doctoral Program, Middle East Technical University, 2024.