Are Bank Ratings Coherent with Bank Default Probabilities in Emerging Market Economies ?
Download full text from publisher
References listed on IDEAS
- Hand, John R M & Holthausen, Robert W & Leftwich, Richard W, 1992. " The Effect of Bond Rating Agency Announcements on Bond and Stock Prices," Journal of Finance, American Finance Association, vol. 47(2), pages 733-752, June.
- Crouhy, Michel & Galai, Dan & Mark, Robert, 2001. "Prototype risk rating system," Journal of Banking & Finance, Elsevier, vol. 25(1), pages 47-95, January.
- Poon, Winnie P. H. & Firth, Michael & Fung, Hung-Gay, 1999. "A multivariate analysis of the determinants of Moody's bank financial strength ratings," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 9(3), pages 267-283, August.
- Walter Krämer & André Güttler, 2008.
"On comparing the accuracy of default predictions in the rating industry,"
Springer, vol. 34(2), pages 343-356, March.
- Prof. Dr. Walter Krämer & Andre Güttler, "undated". "On comparing the accuracy of default predictions in the rating industry," Working Papers 2, Business and Social Statistics Department, Technische Universität Dortmund, revised Oct 2006.
- AndrÃ© Güttler & Walter Kraemer, 2008. "On Comparing the Accuracy of Default Predictions in the Rating Industry," CESifo Working Paper Series 2202, CESifo Group Munich.
- Krämer, Walter & Güttler, André, 2003. "Comparing the accuracy of default predictions in the rating industry: The case of Moody's vs. S&P," Technical Reports 2003,23, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
- Shin, Yoon S. & Moore, William T., 2003. "Explaining credit rating differences between Japanese and U.S. agencies," Review of Financial Economics, Elsevier, vol. 12(4), pages 327-344.
- Rojas-Suarez, Liliana, 2002.
"Can international capital standards strengthen banks in emerging markets?,"
Journal of Financial Transformation,
Capco Institute, vol. 5, pages 51-63.
- Liliana Rojas-Suarez, 2001. "Can International Capital Standards Strengthen Banks in Emerging Markets?," Working Paper Series WP01-10, Peterson Institute for International Economics.
- Asli DemirgÃ¼Ã§-Kunt, 1989. "Deposit-institution failures: a review of empirical literature," Economic Review, Federal Reserve Bank of Cleveland, issue Q IV, pages 2-18.
- repec:bla:joares:v:4:y:1966:i::p:71-111 is not listed on IDEAS
- Kaplan, Robert S & Urwitz, Gabriel, 1979. "Statistical Models of Bond Ratings: A Methodological Inquiry," The Journal of Business, University of Chicago Press, vol. 52(2), pages 231-261, April.
- P. Honohan, 2000.
"Banking System Failures in Developing and Transition Countries: Diagnosis and Prediction,"
Banca Monte dei Paschi di Siena SpA, vol. 29(1), pages 83-109, February.
- Patrick Honohan, 1997. "Banking system failures in developing and transition countries: Diagnosis and predictions," BIS Working Papers 39, Bank for International Settlements.
- G. Ferri & L.-G. Liu & J. E. Stiglitz, 1999. "The Procyclical Role of Rating Agencies: Evidence from the East Asian Crisis," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 28(3), pages 335-355, November.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Anatoly Peresetsky & Alexandr Karminsky & Sergei Golovan, 2011. "Probability of default models of Russian banks," Economic Change and Restructuring, Springer, vol. 44(4), pages 297-334, November.
- Пересецкий А.А., 2007. "Методы Оценки Вероятности Дефолта Банков," Журнал Экономика и математические методы (ЭММ), Центральный Экономико-Математический Институт (ЦЭМИ), vol. 43(3), июль.
More about this item
Keywordsemerging market economies; default probability; bank rating; scoring and mapping methods;
- C35 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Discrete Regression and Qualitative Choice Models; Discrete Regressors; Proportions
- F39 - International Economics - - International Finance - - - Other
- G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-FIN-2004-09-12 (Finance)
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:wpa:wuwpfi:0409023. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (EconWPA). General contact details of provider: http://econwpa.repec.org .