Investors are waking up to the significance of sovereign credit risk in global debt markets, but quantifying the appropriate premium remains difficult. In response, BlackRock introduced a transparent and disciplined approach to assessing credit risk for sovereign debt issuers. The BlackRock Sovereign Risk Index numerically ranks issuing countries using a comprehensive list of relevant fiscal, financial and institutional metrics.The results contain several interesting insights for debt investors, and some very distinct groupings of countries emerge. The top countries are fiscally responsible and institutionally robust Northern European states, and the bottom ones include the European periphery as well as some emerging markets.
Drawing on a pool of more than 30 quantitative measures spanning financial data, surveys and political insights, the BlackRock Sovereign Risk Index (BSRI) provides investors with a framework for tracking sovereign credit risk in 50 countries.
The BSRI breaks down the data into four main categories that each count toward a country’s final BSRI score and ranking: Fiscal Space (40%), Willingness to Pay (30%), External Finance Position (20%) and Financial Sector Health (10%).
To use the tool go to:
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