A multivariate study of spanish bond ratings
In this paper we analyse the ratings given in 1993 to the main Spanish banks, both private and governmental. We use 24 financial ratios obtained from the balance and the profit and loss accounts. Multidimensional scaling (MDS), a multivariate technique which is intuitive and robust to the data, forms the basis of the study. This is complemented with other multivariate statistical techniques such as cluster analysis, property fitting (ProFit) and discriminant analysis. The results identify the financial information that has been used by the rating agency. They also confirm the conjecture that other factors, such as the public or private character of the institution, have also been taken into account by the rating agents.
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Volume (Year): 24 (1996)
Issue (Month): 4 (August)
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References listed on IDEAS
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- Ang, James S & Patel, Kiritkumar A, 1975. "Bond Rating Methods: Comparison and Validation," Journal of Finance, American Finance Association, vol. 30(2), pages 631-40, May.
- Pogue, Thomas F. & Soldofsky, Robert M., 1969. "What's in a Bond Rating," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 4(02), pages 201-228, June.
- Pinches, George E & Mingo, Kent A, 1975. "The Role of Subordination and Industrial Bond Ratings," Journal of Finance, American Finance Association, vol. 30(1), pages 201-06, March.
- Pinches, George E & Mingo, Kent A, 1973. "A Multivariate Analysis of Industrial Bond Ratings," Journal of Finance, American Finance Association, vol. 28(1), pages 1-18, March.
- Cecilio Mar-Molinero & Carlos Serrano-Cinca, 2001. "Bank failure: a multidimensional scaling approach," The European Journal of Finance, Taylor & Francis Journals, vol. 7(2), pages 165-183.
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