Models of Banks Ratings
AbstractThe paper studies the banks ratings models developed by using publicly available financial indicators. Models for Moody’s ratings of long-term deposits in foreign currency are constructed. The database includes banks financial data of emerging markets and the European Union. Additionally, financial macroeconomic variables and the country’s rating are considered as key factors. The hypothesis of the negative trend in ratings is tested. The forecast power has been improved by nonlinear rescaling of banks financial indicators. The agency approach to determining emerging market banks ratings is examined. Models of Russian banks ratings are constructed.
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Bibliographic InfoArticle provided by Publishing House "SINERGIA PRESS" in its journal Applied Econometrics.
Volume (Year): 5 (2007)
Issue (Month): 1 ()
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Web page: http://appliedeconometrics.cemi.rssi.ru/
Bank ratings; Moody’s; rating’s models; ordered probit model;
Find related papers by JEL classification:
- C50 - Mathematical and Quantitative Methods - - Econometric Modeling - - - General
- G24 - Financial Economics - - Financial Institutions and Services - - - Investment Banking; Venture Capital; Brokerage
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"Моделирование Рейтингов Российских Банков
[Modeling Russian Banks Ratings]," MPRA Paper 34630, University Library of Munich, Germany.
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- repec:fth:pennfi:67 is not listed on IDEAS
- Salnikov, V. & Mogilat, A. & Maslov, I., 2012. "Stress Testing for Russian Real Sector: First Approach," Journal of the New Economic Association, New Economic Association, vol. 16(4), pages 46-70.
- Aivazian, Sergey & Golovan, Sergey & Karminsky, Alexander & Peresetsky, Anatoly, 2011. "An approach to ratings mapping," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 23(3), pages 13-40.
- Peresetsky, Anatoly, 2009. "Models for the External Support Component of Moody's Bank Ratings," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 14(2), pages 3-23.
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