Request For Comments - Sovereign Long-Term Rating Methodology

EthiFinance Ratings is launching a request for comments for its Sovereign Long-Term Rating methodology and is inviting market participants to submit their comments and suggestions.

The Request for Comments period is starting on 8th of June and is expected to last until 8thl of July. Unless specified otherwise, these comments will be considered as public.Comments should be submitted at the following email address:rfc@ethifinance.com. The final version is expected to be published and implemented in Q3 2023.

This proposed methodology is based on a combination of qualitative and quantitative factors through an expert-based model approach. More specifically, our methodology relies on the determination of an anchor rating through the use of a partial least squares model combined with variable importance projection (PLS-VIP) that takes into account, for each sovereign, a set of key performance indicators (KPIs) distributed across three pillars and eight sub-pillars. In a second step, we apply a series of qualitative adjustments to the anchor rating for each of the sub-pillars to include in the analytical process all those qualitative factors that are not part of the model.