An approach to ratings mapping
AbstractIn the paper an econometric method of rating scales mapping is suggested. The method is based on the setting up ordered choice models for the ratings and mapping the correspondent latent variables («continuous ratings») with a monotone function. The method takes into account bank’s financial indicators and other factors which rating agency’s experts use in their work. The method is tested on the real data on Russian banks’ ratings and their quarterly balance sheet data for the period 2006:1 – 2010:4.
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Bibliographic InfoArticle provided by Publishing House "SINERGIA PRESS" in its journal Applied Econometrics.
Volume (Year): 23 (2011)
Issue (Month): 3 ()
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Web page: http://appliedeconometrics.cemi.rssi.ru/
bank ratings; ratings mapping; ordered choice models; rating agency;
Find related papers by JEL classification:
- C25 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Discrete Regression and Qualitative Choice Models; Discrete Regressors; Proportions
- C50 - Mathematical and Quantitative Methods - - Econometric Modeling - - - General
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
- G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
- G24 - Financial Economics - - Financial Institutions and Services - - - Investment Banking; Venture Capital; Brokerage
- G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation
- G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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- Soest, A.H.O. van & Peresetsky, A. & Karminsky, A.M., 2003. "An Analysis of Ratings of Russian Banks," Discussion Paper 2003-85, Tilburg University, Center for Economic Research.
- Пересецкий А.А. & Карминский А.М. & Ван Суст А.Г.О., 2004.
"Моделирование Рейтингов Российских Банков,"
Журнал Экономика и математические методы (ЭММ),
Центральный Экономико-Математический Институт (ЦЭМИ), vol. 40(4), Ð¾ÐºÑÑÐ.
- Peresetsky, А. А. & Karminsky, A. M. & van Soest, A. H. O., 2004.
"Моделирование Рейтингов Российских Банков
[Modeling Russian Banks Ratings]," MPRA Paper 34630, University Library of Munich, Germany.
- Peresetsky, А. А. & Karminsky, A. M. & van Soest, A. H. O., 2004. "Моделирование Рейтингов Российских Банков
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