Arbeitspapier
Multilateral Development Bank Ratings and Preferred Creditor Status
This paper analyzes influences on the credit standing of Multilateral Development Banks (MDBs), specifically the quality, diversification and single name concentration of their portfolios, and on the market practice known as Preferred Creditor Status (PCS), whereby sovereigns that default on other debt rarely fail to meet their obligations to MDBs. The paper examines how rating agencies assess MDB ratings, focusing in particular on how Standard & Poor's assesses capital as part of its MDB rating process. The results are compared with those implied by an industry-standard, ratings-based Credit Risk Model (CRM). Applying these methodologies to one specific MDB, the Inter-American Development Bank (IDB), the paper shows that S&P's approach is highly conservative in its evaluation of single name concentration risk and makes insufficient allowance for PCS. Calibrating the CRM with risk-neutral distributions, the paper examines the effect of PCS on MDB funding rates and compares model-implied funding spreads with those observed in the market.
- Language
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Englisch
- Bibliographic citation
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Series: IDB Working Paper Series ; No. IDB-WP-697
- Classification
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Wirtschaft
Portfolio Choice; Investment Decisions
Asset Pricing; Trading Volume; Bond Interest Rates
Investment Banking; Venture Capital; Brokerage; Ratings and Ratings Agencies
- Subject
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Multilateral development banks
Preferred creditor status
Credit ratings
Rating agencies
- Event
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Geistige Schöpfung
- (who)
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Perraudin, William
Powell, Andrew
Yang, Peng
- Event
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Veröffentlichung
- (who)
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Inter-American Development Bank (IDB)
- (where)
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Washington, DC
- (when)
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2016
- Handle
- Last update
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10.03.2025, 11:44 AM CET
Data provider
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Perraudin, William
- Powell, Andrew
- Yang, Peng
- Inter-American Development Bank (IDB)
Time of origin
- 2016
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Actual and preferred working hours
Finding the Most Preferred Path
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Status of multilateral arms regulation and disarmament agreements, 1982
Status of multilateral arms regulation and disarmament agreements, 1987
The effect of anwering in a preferred versus a non-preferred survey mode on measurement