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Effect of financial indicators on international ratings of russian banks

Listed author(s):
  • Volkova, Olga

    ()

    (NRU HSE)

  • Lvova, Irina

    ()

    (NRU HSE)

In this paper we construct an econometric model based Russian bank ratings, trailers rating agency Moody's, S & P and Fitch in 2010-2013, on the financial statements of banks. It identified the most important factors that determine the trend in the assignment of ratings for all agencies throughout the period under review. It has been demonstrated that the relevance of some indicators varies during the period: their influence on the rating is higher in periods following the financial crisis, especially in the previous them. Targeted financial policy pursued by the bank's management, may lead to a change in its rating, at least for some agencies, but the same measures aimed at improving the financial statements of a particular bank, is likely to lead to different results for different ratings. These authors of the simulation results are compared with those of other domestic and foreign authors, showing their compliance.

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Article provided by Russian Presidential Academy of National Economy and Public Administration in its journal Economic Policy.

Volume (Year): 1 (2016)
Issue (Month): (February)
Pages: 177-195

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Handle: RePEc:rnp:ecopol:e16012
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  1. Oriol Aspachs & Charles Goodhart & Dimitrios Tsomocos & Lea Zicchino, 2007. "Towards a measure of financial fragility," Annals of Finance, Springer, vol. 3(1), pages 37-74, January.
  2. Winnie P. H. Poon & Michael Firth, 2005. "Are Unsolicited Credit Ratings Lower? International Evidence From Bank Ratings," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 32(9-10), pages 1741-1771.
  3. Isabelle Distinguin & Iftekhar Hasan & Amine Tarazi, 2013. "Predicting rating changes for banks: how accurate are accounting and stock market indicators?," Annals of Finance, Springer, vol. 9(3), pages 471-500, August.
  4. Guglielmo Maria Caporale & Roman Matousek & Chris Stewart, 2011. "EU Banks Rating Assignments: Is There Heterogeneity between New and Old Member Countries?," Review of International Economics, Wiley Blackwell, vol. 19(1), pages 189-206, February.
  5. Harald Hau & Sam Langfield & David Marques-Ibanez, 2013. "Bank ratings: what determines their quality?," Economic Policy, CEPR;CES;MSH, vol. 28(74), pages 289-333, 04.
  6. Patrick Roy, 2013. "Is There a Difference Between Solicited and Unsolicited Bank Ratings and, If So, Why?," Journal of Financial Services Research, Springer;Western Finance Association, vol. 44(1), pages 53-86, August.
  7. Edward I. Altman, 1968. "Financial Ratios, Discriminant Analysis And The Prediction Of Corporate Bankruptcy," Journal of Finance, American Finance Association, vol. 23(4), pages 589-609, September.
  8. J. Evans & J. Simpson & A. A. Mahate & R. Evans, 2004. "Impact of operating and balance sheet performance of Japanese international banks on bank safety levels and risk ratings," Applied Financial Economics, Taylor & Francis Journals, vol. 14(8), pages 599-610.
  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.
  10. 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.
  11. 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.
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