Peresetsky, A. A. and Karminsky, A. M. (2011): Models for Moody’s bank ratings. Published in: Frontiers in Finance and Economics , Vol. 1, No. 8 (2011): pp. 88-110.
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The paper presents an econometric study of the two bank ratings assigned by Moody's Investors Service. According to Moody’s methodology, foreign-currency long-term deposit ratings are assigned on the basis of Bank Finan-cial Strength Ratings (BFSR), taking into account “external bank support factors” (joint-default analysis, JDA). Models for the (unobserved) external support are presented, and we find that models based solely on public infor-mation can approximate the ratings reasonably well. It appears that the ob-served rating degradation can be explained by the growth of the banking sys-tem as a whole. Moody’s has a special approach for banks in developing countries in general and for Russia in particular. The models help reveal the factors that are important for external bank support.
|Item Type:||MPRA Paper|
|Original Title:||Models for Moody’s bank ratings|
|Keywords:||Banks, Ratings, Rating model, Risk evaluation, Early Warning System|
|Subjects:||G - Financial Economics > G3 - Corporate Finance and Governance > G32 - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
G - Financial Economics > G2 - Financial Institutions and Services > G21 - Banks; Depository Institutions; Micro Finance Institutions; Mortgages
|Depositing User:||Anatoly A. Peresetsky|
|Date Deposited:||21. Nov 2011 15:58|
|Last Modified:||16. Feb 2013 08:33|
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