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Bank Credit Risk Rating Process: Is There a Change With the 2007-09 Crisis?

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  • Emna Damak

Abstract

The purpose of this article is to study empirically the bank credit risk rating (BCRR) process over time using 89 banks from 27 EMENA countries rated by S&P¡¯s simultaneously before and after 2007-09 crises. We made this comparison based on the CAMELS model with a proposed ¡®S¡¯ to BCRR. We use "ordered logit" regression for the rating classes and we complete our analysis by ¡°linear multiple¡± regression for the rating grades. The results show that the rating changes in 2012 are mainly a methodology revision consequence of the entire rating process changes, including the weight of components, the important factors and the relevant variables in order to take into account some of the lessons learned from this global crisis. They also show a consistence between the BCRR's revealed and practiced methodologies revised by the credit rating agencies (CRAs).

Suggested Citation

  • Emna Damak, 2021. "Bank Credit Risk Rating Process: Is There a Change With the 2007-09 Crisis?," International Journal of Financial Research, International Journal of Financial Research, Sciedu Press, vol. 12(5), pages 41-57, October.
    • Handle: RePEc:jfr:ijfr11:v:12:y:2021:i:5:p:41-57
    DOI: 10.5430/ijfr.v12n5p41
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    1. Cheng, Mei & Neamtiu, Monica, 2009. "An empirical analysis of changes in credit rating properties: Timeliness, accuracy and volatility," Journal of Accounting and Economics, Elsevier, vol. 47(1-2), pages 108-130, March.
    2. Amato, Jeffery D. & Furfine, Craig H., 2004. "Are credit ratings procyclical?," Journal of Banking & Finance, Elsevier, vol. 28(11), pages 2641-2677, November.
    3. J. Scott Long & Jeremy Freese, 2006. "Regression Models for Categorical Dependent Variables using Stata, 2nd Edition," Stata Press books, StataCorp LLC, edition 2, number long2, March.
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