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Etude de la Cohérence des Ratings de Banques avec la Probabiliies de Dfaillance Bancaire dans les Pays Emergents

Listed author(s):
  • Christophe Godlewski

    (LaRGE, Institut d'Etudes Politiques, Université Robert Schuman, Strasbourg 3)

Cet article propose d’appliquer la méthodologie de scoring et de calibrage afin d’étudier la cohérence des ratings de banques avec un modèle de défaut des banques dans les pays émergents. En effet, le rôle du rating en temps que vecteur de discipline de marché, via la véhiculation d’informations sur le risque de défaut, devrait croître dans le cadre du 3e Pilier de la Réforme de Bâle II. Pour que ce rôle soit efficace, il est crucial que le rating soit ffectivement cohérent avec la probabilité de défaut de l'émetteur. D’après les résultats obtenus, l’utilisation du scoring pour quantifier les classes de rating interne donne des estimations cohérentes avec les taux de d´efaut observés. Par contre, une tendance à l’agrégation de l’information par les rating Moody’s et Fitch est mise en évidence.Enfin, la cohérence s’avère plus importante en terme de répartition des probabilités de défaut estimées par classe de rating Moody’s et Fitch.

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File URL: http://econwpa.repec.org/eps/fin/papers/0409/0409022.pdf
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Paper provided by EconWPA in its series Finance with number 0409022.

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Date of creation: 08 Sep 2004
Handle: RePEc:wpa:wuwpfi:0409022
Note: Type of Document - pdf
Contact details of provider: Web page: http://econwpa.repec.org

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