This publication is based on doctoral thesis of the author. In this study, the sovereign risk of Turkey has been examined analyzing the relations among economic, fiscal, money market, event risk factor variables, and sovereign credit rating of Turkey. Short term variables associated with the sovereign risk of Turkey have been determined by time series analysis modeling. The study consists of two parts. In the first part the sovereign credit rating system is explained within the context of the borrowing, country risk and credit rating in view of the history and criticism of the system. In the second part an empirical study is conducted and results are presented with interpretations and suggestions.