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An approach to ratings mapping

  • Aivazian, Sergey

    ()

    (CEMI RAS, Moscow School of Economics, HSE, Moscow)

  • Golovan, Sergey

    ()

    (CEFIR, Moscow)

  • Karminsky, Alexander

    ()

    (Higher School of Economics, Moscow)

  • Peresetsky, Anatoly

    ()

    (Higher School of Economics, CEMI RAS, Moscow)

In the paper an econometric method of rating scales mapping is suggested. The method is based on the setting up ordered choice models for the ratings and mapping the correspondent latent variables («continuous ratings») with a monotone function. The method takes into account bank’s financial indicators and other factors which rating agency’s experts use in their work. The method is tested on the real data on Russian banks’ ratings and their quarterly balance sheet data for the period 2006:1 – 2010:4.

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Article provided by Publishing House "SINERGIA PRESS" in its journal Applied Econometrics.

Volume (Year): 23 (2011)
Issue (Month): 3 ()
Pages: 13-40

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Handle: RePEc:ris:apltrx:0090
Contact details of provider: Web page: http://appliedeconometrics.cemi.rssi.ru/

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  1. António Afonso, 2002. "Understanding the Determinants of Government Debt Ratings: Evidence for the Two Leading Agencies," Working Papers Department of Economics 2002/02, ISEG - School of Economics and Management, Department of Economics, University of Lisbon.
  2. van Soest, A.H.O. & Peresetsky, A. & Karminsky, A.M., 2003. "An Analysis of Ratings of Russian Banks," Discussion Paper 2003-85, Tilburg University, Center for Economic Research.
  3. Donald P. Morgan, 2002. "Rating Banks: Risk and Uncertainty in an Opaque Industry," American Economic Review, American Economic Association, vol. 92(4), pages 874-888, September.
  4. repec:dgr:kubcen:200385 is not listed on IDEAS
  5. Айвазян С.А., 2003. "К Методологии Измерения Синтетических Категорий Качества Жизни Населения," Журнал Экономика и математические методы (ЭММ), Центральный Экономико-Математический Институт (ЦЭМИ), vol. 39(2), апрель.
  6. Пересецкий А.А. & Карминский А.М. & Ван Суст А.Г.О., 2004. "Моделирование Рейтингов Российских Банков," Журнал Экономика и математические методы (ЭММ), Центральный Экономико-Математический Институт (ЦЭМИ), vol. 40(4), октябрь.
  7. Karminsky, Alexandr & Peresetsky, Anatoly, 2007. "Models of Banks Ratings," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 5(1), pages 3-19.
  8. 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.
  9. Spyros Pagratis & Marco Stringa, 2009. "Modeling Bank Senior Unsecured Ratings: A Reasoned Structured Approach to Bank Credit Assessment," International Journal of Central Banking, International Journal of Central Banking, vol. 5(2), pages 1-39, June.
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