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Models of Banks Ratings

Author

Listed:
  • Karminsky, Alexandr

    () (Higher School of Economics, Moscow)

  • Peresetsky, Anatoly

    () (Higher School of Economics, CEMI RAS and NES, Moscow, Russia)

Abstract

The paper studies the banks ratings models developed by using publicly available financial indicators. Models for Moody’s ratings of long-term deposits in foreign currency are constructed. The database includes banks financial data of emerging markets and the European Union. Additionally, financial macroeconomic variables and the country’s rating are considered as key factors. The hypothesis of the negative trend in ratings is tested. The forecast power has been improved by nonlinear rescaling of banks financial indicators. The agency approach to determining emerging market banks ratings is examined. Models of Russian banks ratings are constructed.

Suggested Citation

  • Karminsky, Alexandr & Peresetsky, Anatoly, 2007. "Models of Banks Ratings," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 5(1), pages 3-19.
  • Handle: RePEc:ris:apltrx:0005
    as

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    File URL: http://pe.cemi.rssi.ru/pe_2007_01_03-19.pdf
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    References listed on IDEAS

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    1. Marshall E. Blume & Felix Lim & A. Craig MacKinlay, "undated". "The Declining Credit Quality of US Corporate Debt: Myth or Reality?," Rodney L. White Center for Financial Research Working Papers 3-98, Wharton School Rodney L. White Center for Financial Research.
    2. Marshall E. Blume & Felix Lim & A. Craig Mackinlay, 1998. "The Declining Credit Quality of U.S. Corporate Debt: Myth or Reality?," Journal of Finance, American Finance Association, vol. 53(4), pages 1389-1413, August.
    3. Amato, Jeffery D. & Furfine, Craig H., 2004. "Are credit ratings procyclical?," Journal of Banking & Finance, Elsevier, vol. 28(11), pages 2641-2677, November.
    4. Marshall E. Blume & Felix Lim & A. Craig MacKinlay, "undated". "The Declining Credit Quality of US Corporate Debt: Myth or Reality?," Rodney L. White Center for Financial Research Working Papers 03-98, Wharton School Rodney L. White Center for Financial Research.
    5. Altman, Edward I. & Saunders, Anthony, 1997. "Credit risk measurement: Developments over the last 20 years," Journal of Banking & Finance, Elsevier, vol. 21(11-12), pages 1721-1742, December.
    6. Altman, Edward I. & Rijken, Herbert A., 2004. "How rating agencies achieve rating stability," Journal of Banking & Finance, Elsevier, vol. 28(11), pages 2679-2714, November.
    7. repec:fth:pennfi:67 is not listed on IDEAS
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    Citations

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    Cited by:

    1. Alexander Karminsky & Richard Hainsworth & Vasily Solodkov, 2013. "Arm’s Length Method for Comparing Rating Scales," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 3(2), pages 114-135, December.
    2. Aivazian, Sergey & Golovan, Sergey & Karminsky, Alexander & Peresetsky, Anatoly, 2011. "An approach to ratings mapping," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 23(3), pages 13-40.
    3. Peresetsky, Anatoly, 2009. "Models for the External Support Component of Moody's Bank Ratings," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 14(2), pages 3-23.
    4. Ошерович Инна Львовна, 2015. "Анализ вероятностных соответствий меж ду рейтингами ведущих меж дународных компаний Moody’s, Fitch и standard&poor’s," Вестник Финансового университета, CyberLeninka;Федеральное государственное образовательное бюджетное учреждение высшего профессионального образования «Финансовый университет при Правительстве Российской Федерации» (Финансовый университет), issue 3 (87), pages 136-148.
    5. repec:nea:journl:y:2017i:36:p:49-80 is not listed on IDEAS
    6. 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.
    7. Peresetsky, A. A., 2011. "What factors drive the Russian banks license withdrawal," MPRA Paper 41507, University Library of Munich, Germany.
    8. Salnikov, V. & Mogilat, A. & Maslov, I., 2012. "Stress Testing for Russian Real Sector: First Approach," Journal of the New Economic Association, New Economic Association, vol. 16(4), pages 46-70.
    9. Alexander Karminsky, 2016. "Rating models: emerging market distinctions," Papers 1607.02422, arXiv.org.

    More about this item

    Keywords

    Bank ratings; Moody’s; rating’s models; ordered probit model;

    JEL classification:

    • C50 - Mathematical and Quantitative Methods - - Econometric Modeling - - - General
    • G24 - Financial Economics - - Financial Institutions and Services - - - Investment Banking; Venture Capital; Brokerage

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