مدل رتبه‌بندی ریسک اعتباری کشورهای در حال توسعه به روش تحلیل مولفه‌های مستقل

The main purpose of the current paper is to introduce a model to rate credit risk in developing countries. since there is no comprehensive theory for evaluation of country credit risk and no complete transparency on the process of rating credit risk by involved institutions then the first aim of the research is to find variables which have most impact on country risk. to gain this purpose, twenty eight financial and economical variables having most impact on rating country risk, based on relevant theories and previous researches, will be selected. then by applying independent component analysis (ica) we could find nine variables out of twenty eight ones that have most influence on rating country risk between 2002-2006. results shows that ratio of gross fixed investment to the gdp and percentage of total external debt to the export have positive and negative effect on countries rating. finally estimation of the model shows this model has the ability to justify 96% of the variance in country credit rating (based on the results provided by fitch and s&p institutes).