Statistical Analysis of Assigning a Corporate Credit Rating with Regard to the Sovereign Rating in the Russian Federation (E. Kopnova, A. Gracheva, сетевое издание "Электронный журнал "Корпоративные финансы" Journal of Corporate Finance Research", N 1, 2022 г.)

Kopnova E., Gracheva A. Statistical Analysis of Assigning a Corporate Credit Rating with Regard to the Sovereign Rating in the Russian Federation

E. Kopnova - Candidate of Technical Sciences, Associate Professor in the Department of Statistics and Data Analysis, National Research University Higher School of Economics, Moscow, Russia

A. Gracheva - Economist, Division of Macroeconomic Analysis and Forecast at the Monetary Policy Department, The Bank of Russia, Moscow, Russia

The paper presents the results of a statistical study of the formation of a corporate credit rating, with regard to the sovereign rating. The research is based on the data from 19 non-financial companies in Russia's leading industries for 20142018. It is shown that the sovereign credit rating, despite the relaxation of the sovereign "ceiling" rule by Fitch, Moody's and S&P rating agencies in 1997, remains closely correlated to the risk level of Russian companies. The obtained results related to macroeconomic and idiosyncratic risk indicators denote the peculiarities of credit rating formation for Russian companies. In particular, in contrast to the results of similar studies, it reveals the negative effect of certain profitability and liquidity variables, as well as the country's foreign trade turnover on the corporate rating. It also demonstrates that a credit rating has a "short memory" - its current value is historically determined only by the level in the previous period.

This paper is of practical relevance for private and institutional investors and lenders that use credit ratings to form their own perception of the default risk level in the corporate sector.

Keywords: credit ratings, sovereign ceiling, sovereign risk, corporate risk, risk transmission