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Models of Banks Ratings

  • Karminsky, Alexandr

    ()

    (Higher School of Economics, Moscow)

  • Peresetsky, Anatoly

    ()

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

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.

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File URL: http://pe.cemi.rssi.ru/pe_2007_01_03-19.pdf
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Article provided by Publishing House "SINERGIA PRESS" in its journal Applied Econometrics.

Volume (Year): 5 (2007)
Issue (Month): 1 ()
Pages: 3-19

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Handle: RePEc:ris:apltrx:0005
Contact details of provider: Web page: http://appliedeconometrics.cemi.rssi.ru/

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  1. 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.
  2. repec:fth:pennfi:67 is not listed on IDEAS
  3. Marshall E. Blume & Felix Lim & A. Craig MacKinlay, . "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.
  4. Peresetsky, А. А. & Karminsky, A. M. & van Soest, A. H. O., 2004. "Моделирование Рейтингов Российских Банков
    [Modeling Russian Banks Ratings]
    ," MPRA Paper 34630, University Library of Munich, Germany.
  5. Marshall E. Blume & Felix Lim & A. Craig MacKinlay, . "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.
  6. Amato, Jeffery D. & Furfine, Craig H., 2004. "Are credit ratings procyclical?," Journal of Banking & Finance, Elsevier, vol. 28(11), pages 2641-2677, November.
  7. 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, 08.
  8. 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.
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