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OEBU 2045A - Ratings - Sovereign and Macro Risks

Type d'enseignement : Elective

Semester : Spring 2017-2018

Number of hours : 12

Language of tuition : English


A good understanding of the basic macro-economic principles (economic growth, unemployment, interest rates, inflation and budgetary policy), is necessary for this course.

Course Description

Students will learn how to assess credit risk through the use of credit ratings and how a credit rating is made. Role of credit rating agencies, their functions on the capital markets, their relationships with other industry players (issuers, investors, regulators) and their limitations. Identify qualitative, quantitative and market indicators of vulnerability. The course will be based on case studies, in particular the current and previous crises in various regions of the world. The analytical overview will encompass the history of sovereign defaults and episodes of acute macro-economic crises. The risk analysis will include macro-economic policies, public finance, external finances and financial sector (systemic risk). See short video teaser:


PAINVIN, Nicolas (Group Credit Officer for Infrastructure, Project Finance and Public Finance, Fitch Ratings)

Pedagogical format

Mix of presentations, case studies (some done in classroom and some prepared by students as home work; all groups prepare on different subjects of their choice from a list). Analysis and comments of documents (written and video). Active class participation is strongly encouraged.

Course validation

Quick Multi-Choice Questionnaires on readings and previous session in each class (10%); 1 focused case study presentation (groups of 4 students, 30%), lecture note taking (groups of 4, 20%), active class participation (30%). Final MCQ in class (10%).


6 seminars of two hours each (12 hours). Credits: 2. Some preparation is required before each class: brief reading, lecture note taking and presentation for the case studies (group work).

Required reading

  • Rating methodologies on Sovereign Credits (available on the rating agencies websites)
  • Allen, F., Gale, D., 2000, Bubbles and Crises, The Economic Journal, vol. 110 (January), 236-255
  • Fitch Macro-prudential Risk Monitor (to be distributed to registered students)
  • 85th Annual Report (2014-2015, dated 28 June 2015), Bank for International Settlements; "Is the unthinkable becoming routine?"

Additional required reading

  • The rise of sovereign credit risk: implications for financial stability
  • Current account imbalances in the euro area: competitiveness or demand shock?
  • Capital Markets and Economic Imbalances: from one crisis to another
  • IMF, Working Papers, January 2012 WP/12/23
  • Painvin, N., Paget-Blanc, E., 2007, La notation financière, Dunod, chapter on Sovereign Risk (in French)