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Influence des Facteurs Institutionnels sur l’Excès de Risque et les Ratings de Banques dans les Pays Emergents

Author

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  • Christophe Godlewski

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

Abstract

L’environnement réglementaire et institutionnel influence la prise de risque du banquier, particulièrement dans les pays émergents. L’excès de risque qui peut en résulter fragilise considérablement la solidité bancaire. Cet article étudie l’influence des facteurs institutionnels sur l’excès de risque et le rating de banques, plus particulièrement le Moody’s Bank Financial Strenght Rating (BFSR). En nous inspirant des résultats de Poon et al. [1999] (”A Multivariate Analysis of the Determinants of Moody’s Bank Financial Strength Ratings”, Journal of International Financial Markets, Institutions and Money 9, pp. 267-283), nous appliquons un modèle logit ordonné en deux étapes à un échantillon de banques notées par Moody’s dans les pays émergents. Cette méthodologie permet de distinguer l’influence de l’environnemnt sur l’excès de risque de l’impact de celui-ci sur la qualité du rating. Nous mettons en évidence l’impact de cet environnement sur la qualité du rating, particulièrement de la qualité des institutions, qui affecte l’efficacité et la crédibilité de la discipline réglementaire et de la surveillance prudentielle.

Suggested Citation

  • Christophe Godlewski, 2004. "Influence des Facteurs Institutionnels sur l’Excès de Risque et les Ratings de Banques dans les Pays Emergents," Finance 0409025, EconWPA.
  • Handle: RePEc:wpa:wuwpfi:0409025
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    Keywords

    ratings de banques; déterminants réglementaires et institutionels; pays émergents modèle logit ordonné en deux étapes;

    JEL classification:

    • C35 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Discrete Regression and Qualitative Choice Models; Discrete Regressors; Proportions
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation

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