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The bank's rating, the rating agencies, Basel II of, financial indicator, the econometric model
[Влияние Финансовых Показателей На Международные Рейтинги Российских Банков]

Author

Listed:
  • Volkova, Olga (Волкова, Ольга)

    (NRU HSE)

  • Lvova, Irina (Львова, Ирина)

    (NRU HSE)

Abstract

In this paper we construct an econometric model based Russian bank ratings, trailers rating agency Moody's, S & P and Fitch in 2010-2013, on the financial statements of banks. It identified the most important factors that determine the trend in the assignment of ratings for all agencies throughout the period under review. It has been demonstrated that the relevance of some indicators varies during the period: their influence on the rating is higher in periods following the financial crisis, especially in the previous them. Targeted financial policy pursued by the bank's management, may lead to a change in its rating, at least for some agencies, but the same measures aimed at improving the financial statements of a particular bank, is likely to lead to different results for different ratings. These authors of the simulation results are compared with those of other domestic and foreign authors, showing their compliance.

Suggested Citation

  • Volkova, Olga (Волкова, Ольга) & Lvova, Irina (Львова, Ирина), 2016. "The bank's rating, the rating agencies, Basel II of, financial indicator, the econometric model [Влияние Финансовых Показателей На Международные Рейтинги Российских Банков]," Ekonomicheskaya Politika / Economic Policy, Russian Presidential Academy of National Economy and Public Administration, vol. 1, pages 177-195, February.
    • Handle: RePEc:rnp:ecopol:e16012
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    References listed on IDEAS

    as
    1. Winnie P. H. Poon & Michael Firth, 2005. "Are Unsolicited Credit Ratings Lower? International Evidence From Bank Ratings," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 32(9-10), pages 1741-1771.
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    3. Edward I. Altman, 1968. "The Prediction Of Corporate Bankruptcy: A Discriminant Analysis," Journal of Finance, American Finance Association, vol. 23(1), pages 193-194, March.
    4. Winnie P. H. Poon & Michael Firth, 2005. "Are Unsolicited Credit Ratings Lower? International Evidence From Bank Ratings," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 32(9‐10), pages 1741-1771, November.
    5. Isabelle Distinguin & Iftekhar Hasan & Amine Tarazi, 2013. "Predicting rating changes for banks: how accurate are accounting and stock market indicators?," Annals of Finance, Springer, vol. 9(3), pages 471-500, August.
    6. J. Evans & J. Simpson & A. A. Mahate & R. Evans, 2004. "Impact of operating and balance sheet performance of Japanese international banks on bank safety levels and risk ratings," Applied Financial Economics, Taylor & Francis Journals, vol. 14(8), pages 599-610.
    7. repec:zbw:bofitp:2008_017 is not listed on IDEAS
    8. Guglielmo Maria Caporale & Roman Matousek & Chris Stewart, 2011. "EU Banks Rating Assignments: Is There Heterogeneity between New and Old Member Countries?," Review of International Economics, Wiley Blackwell, vol. 19(1), pages 189-206, February.
    9. Oriol Aspachs & Charles Goodhart & Dimitrios Tsomocos & Lea Zicchino, 2007. "Towards a measure of financial fragility," Annals of Finance, Springer, vol. 3(1), pages 37-74, January.
    10. António Afonso, 2002. "Understanding the Determinants of Government Debt Ratings: Evidence for the Two Leading Agencies," Working Papers Department of Economics 2002/02, ISEG - Lisbon School of Economics and Management, Department of Economics, Universidade de Lisboa.
    11. Harald Hau & Sam Langfield & David Marques-Ibanez, 2013. "Bank ratings: what determines their quality? [Bank risk during the financial crisis: do business models matter?]," Economic Policy, CEPR, CESifo, Sciences Po;CES;MSH, vol. 28(74), pages 289-333.
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    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    the bank's rating; the rating agencies; Basel II of; financial indicator; the econometric model;
    All these keywords.

    JEL classification:

    • C5 - Mathematical and Quantitative Methods - - Econometric Modeling
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill

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