Sovereign Credit Risk in Saudi Arabia, Morocco and Egypt

Round 1

Reviewer 1 Report

Comments and Suggestions for Authors

1.     Implications of this study should be highlighted in the abstract of study.

2.     The authors have written in the abstract that Egypt economy is more fragile due to political events after 2009. This claim needs some support/evidence.

3.     Language needs major improvement. There are also some spelling mistakes.

4.     Introduction section needs more explanation, it should discuss the need for study, novelty and background.  

5.     Why did authors choose only Egypt, Saudi Arabia, and Morocco? What were the particular issues with the data of other countries? Separate results for three countries are reported, what was the issue if the data was not entirely consistent for other countries. It would have been more interesting to know the findings by taking a large sample of countries.  

6.     As study is already conducted, why authors has used future tense in introduction section?

7.     Citations/source is missing in most of the facts/numbers stated

8.     The political and economic situation in these countries is very different. What are the reasons to choose these three countries? Isn’t the situation of sovereign credit risk different in these three countries?

9.     Literature review section is very weak. It does not discuss the past researches on this topic and only discuss the methods been used in the current study. This section needs to be rewritten.

10.  The paper lacks a proper theoretical foundation/basis. The most part of it discusses the methodology been employed. What are the theoretical basis for such study? What was the research gap?

11.  The authors stated that they validated predictions using transition matrices based on a homogeneous Markov model. However, no particular reasons for this model as superior are given. The authors also stated that objective of their paper is to improve sovereign credit risk assessment tools, what are the issues with the previous tools? How do the authors find that their tools are outperforming the previous ones? Introduction and literature do not provide any details about previous tools and the issues in those tools that motivated the author for this study.

12.  The paper is weak theoretically, the background, literature and conclusion are not consistent/connected. Authors discussed the method employed in this study without theoretically justifying the need for this study.

13.  No specific policy implications are discussed.

Comments on the Quality of English Language

can be improved 

Author Response

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Reviewer 2 Report

Comments and Suggestions for Authors

I have read submitted paper written by: Amira Abid  and Fathi Abid. In this paper the authors aimed to assess and predict sovereign credit risk for Egypt, Morroco and Saudi Arabia using credit default swaps (CDS) spreads obtained from data stream data base for the period from 2009 to 2022. The introduction section and Preivous Research Section provide sufficient information about the historical development of the subject to help prepare the submitted paper. The data description and methodology of the paper were selected in accordance with the preparation of the paper. The tables of figures given in the article were prepared with data suitable for the purpose of the paper. And finaly the authors expressed their views on the subject in the "Conclusions and Creditworthiness Implications" section.

After review, I think that the idea of this paper’s results are new and correct. The paper is well written and the results are highlighted in this field.

Author Response

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Reviewer 3 Report

Comments and Suggestions for Authors

Sovereign credit risk refers to the risk that a country will default on its debt obligations. This risk is influenced by several factors, including economic stability, political stability, external debt levels, currency stability, and the country’s ability to generate revenue (through taxation, natural resources, etc.).

While reading the manuscript, some insights are neglected. I can mention the key factors which are not cited in the manuscript. As example:

• Egypt: Identified as the most fragile economy among the three, especially after 2009. The higher default probabilities can be attributed to significant political events, such as the 2011 revolution and subsequent instability.
• Morocco and Saudi Arabia: These countries are found to be more resilient in terms of both default probability and credit rating. Their economies have shown greater stability despite regional and global economic challenges.

For a detailed analysis, reviewing the specific metrics and arguments presented in the article would be essential If you could provide more context. Authors can consider the following conditions:

• Global economic conditions, such as interest rate changes and geopolitical tensions, which can impact all three countries.
• Specific developments or events that might have occurred recently, influencing the current risk assessment.

Author Response

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Round 2

Reviewer 1 Report

Comments and Suggestions for Authors

The paper now is suitable for publication