| Abstract [eng] |
Master's Work analyzed and evaluated methodology of sovereign credit ratings, the critique of the process itself and proposed solutions for existing problems. Correlation, regression and principal components analysis were used to determine distinct models for the three Baltic states – Lithuania, Latvia and Lithuania, that accurately predicts future credit ratings based on macro-economic indicators. The first part examines theoretical aspect of the concept of credit rating, its value to the global financial markets, defines the causes of the credit rating errors, presents possible solutions for the failures of credit ratings. In the second section methodologies used by Standard and Poor's, Fitch and Moody's to determine sovereign credit ratings are analyzed, scientific literature on the dependence of credit rating and macro-economic indicators are examined, research model and problems associated with it are presented, workflow is defined. In the third part linear multiple regression equations are derived which are used to predict future credit ratings of Lithuania, Latvia and Estonia, future credit ratings predictions are carried out based on actual year 2012 fourth quarter data and future scenarios. |
