Sovereign Credit Default

Probability-of-default and forward-looking credit rating for ~190 sovereigns, built from IMF WEO + World Bank macro/external/ fiscal indicators plus a shadow-debt overlay. Rated on the S&P scale (AAA strongest, D in default) with side-by-side comparison to S&P / Moody's / Fitch.

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Avg PD 1y —
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Imminent default risk

Coloured bands: green = below the operational threshold; amber = in threshold band (Tellimer 20–30% for 3Y, 20–25% for 5Y, 40–50% for 1Y); red = crisis confirmation (>50%). Click a bar to open the country drilldown.

Rating deterioration (YoY)

1Y PD change vs prior year

Bars > 0 = credit deteriorating (PD rising). Scans the top 25 by current 1Y PD and ranks by 12-month change so the fastest movers surface, not just the highest-level sovereigns.

Country Model Rating Composite (log) S&P Moody's Fitch Δ vs S&P Watch PD 1y PD 3y PD 5y Onset 1y Shadow gap
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Methodology

The Parra Macro sovereign credit model produces a forward-looking rating on the S&P scale (AAA strongest, D in default, with +/− modifiers on AA through CCC) and a probability of default at 1, 3 and 5 year horizons.

The composite score is a weighted blend of robust z-scores across the indicator panel: gross debt, fiscal balance, interest/revenue, current account, import cover, short-term debt/reserves, external debt/GNI, GDP growth, inflation, GDP per capita, and the World Bank governance index. The shadow-debt gap (estimated minus official, from our sovereign_debt overlay) feeds in as an extra risk indicator. Sign is flipped for "higher is better" indicators so every contribution is measured as risk.

The composite is logistic-squashed onto 0–100 and rank-mapped to letter buckets via per-region calibration against the agency consensus CDF. PD figures are derived from the GBM ensemble and rescaled to the natural sovereign-default base rate over a 25-year panel of CRAG events.

Data: IMF WEO via datamapper API, World Bank WDI/IDS, plus the static sovereign_debt overlay. Refresh: 6h cache. Agency ratings are loaded from data/agency_ratings.csv for display only — they are never used as a fitting target.