Comparison of Bank Credit Ratings for Various Agencies
Article proposes comparative studies of credit ratings of the leading Russian and international rating agencies. We analyze approaches and the possibility of comparison of agencies’ rating scales. Purpose of this analysis is to propose method and describe the criteria for comparison of rating scales and the possibility of using standard econometric models. We demonstrate the dynamics and development of rating business in Russia, problems and prospects of creating the unified rating area. A detailed comparative analysis of rating scales is focused on Russian banks. Database for empirical study includes 370 banks with at least one contact rating in the period 2006–2010. Similar research has also been carried out for international banks on the sample of 1995–2010 years. It consists of representatives of more than 80 countries. Conclusions provided for ten most commonly used bank ratings in Russia including scales of largest international rating agencies. Results may be used by regulators and commercial banks as part of the risk management methodologies and tender indicators.
Volume (Year): (2011)
Issue (Month): 12 ()
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- Guttler, Andre & Wahrenburg, Mark, 2007. "The adjustment of credit ratings in advance of defaults," Journal of Banking & Finance, Elsevier, vol. 31(3), pages 751-767, March.
- Anatoly Peresetsky, Alexander Karminsky, 2011.
"Models for Moody’s Bank Ratings,"
Frontiers in Finance and Economics,
SKEMA Business School, vol. 8(1), pages 88-110, April.
- Peresetsky, A. A. & Karminsky, A. M., 2011. "Models for Moody’s bank ratings," MPRA Paper 34864, University Library of Munich, Germany.
- Peresetsky, Anatoly & Karminsky, Alexandr, 2008. "Models for Moody's bank ratings," BOFIT Discussion Papers 17/2008, Bank of Finland, Institute for Economies in Transition.
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