Modelling banks’ credit ratings of international agencies
| Autor: | Ella Khromova, Alexander Karminsky |
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| Rok vydání: | 2016 |
| Předmět: | |
| Zdroj: | Eurasian Economic Review. 6:341-363 |
| ISSN: | 2147-429X 1309-422X |
| DOI: | 10.1007/s40822-016-0058-5 |
| Popis: | The aim of this paper is to construct a reliable banks’ rating model for the main international agencies based on public information for the potential practical use. The Bankscope database for the period from 1996 to 2011 was used in the research. The ordered probit models show that inclusion of macroeconomic variables as well as the regional dummies improve their explanatory power. Moreover, the significance of the time dummies allowed us to conclude that rating agencies do change their grade when an economy operates on the different business cycle stages. Furthermore, the conclusions of a conservative nature of Standard & Poor’s ratings and overvalued Moody’s grades compared to the rating agency Fitch were performed. The models were checked for the in-sample and out-of-sample fit including distributional comparisons across agencies. The obtained model was classified as practically useful, as it gave 31 % of precise results and up to 70 % forecasts with an error within one rating grade. Moreover, 62 % of rating classes of banks were predicted without an error and more than 95 % of rating classes’ forecasts had an error within one rating class. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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