Rating assignments: lessons from international banks

Arbeitspapier

This paper estimates ordered logit and probit regression models for bank ratings which also include a country index to capture country-specific variation. The empirical findings provide support to the hypothesis that the individual international bank ratings assigned by Fitch Ratings are underpinned by fundamental quantitative financial analyses. Also, there is strong evidence of a country effect. Our model is shown to provide accurate predictions of bank ratings for the period prior to the 2007 2008 banking crisis based upon publicly available information. However, our results also suggest that quantitative models are not likely to be able to predict ratings with complete accuracy. Furthermore, we find that both quantitative models and rating agencies are likely to produce highly inaccurate predictions of ratings during periods of financial instability.

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• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: CESifo Working Paper ; No. 2618

Klassifikation und Themen

• Klassifikation: Wirtschaft ; Single Equation Models; Single Variables: Discrete Regression and Qualitative Choice Models; Discrete Regressors; Proportions; Probabilities ; Model Construction and Estimation ; Model Evaluation, Validation, and Selection ; Banks; Depository Institutions; Micro Finance Institutions; Mortgages
• Thema: international banks ; ratings ; ordered choice models ; country index ; Internationale Bank ; Kreditrisiko ; Bewertung ; Ratingagentur ; Regression ; Bankenkrise ; Welt

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Caporale, Guglielmo Maria ; Matousek, Roman ; Stewart, Chris
• Ereignis: Veröffentlichung
• (wer): Center for Economic Studies and ifo Institute (CESifo)
• (wo): Munich
• (wann): 2009

Weitere Informationen

• Handle: http://hdl.handle.net/10419/26663