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Ratings assignments: Lessons from international banks

Caporale, Guglielmo Maria, Matousek, Roman, Stewart, Chris (2012) Ratings assignments: Lessons from international banks. Journal of International Money and Finance, 31 (6). pp. 1593-1606. ISSN 0261-5606. (doi:10.1016/j.jimonfin.2012.02.018) (The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided)

The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided. (Contact us about this Publication)
Official URL
http://dx.doi.org/10.1016/j.jimonfin.2012.02.018

Abstract

This paper estimates ordered logit models for bank ratings which include a country index to capture country-specific variation. The empirical findings support 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 unlikely 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. © 2012 Elsevier Ltd.

Item Type: Article
DOI/Identification number: 10.1016/j.jimonfin.2012.02.018
Additional information: Unmapped bibliographic data: AD - Centre for Empirical Finance, Brunel University, West London UB8 3PH, United Kingdom [Field not mapped to EPrints] AD - Centre for EMEA Banking, Finance and Economics, London Metropolitan Business School, London Metropolitan University, 84 Moorgate, London EC2M 6SQ, United Kingdom [Field not mapped to EPrints] AD - London Metropolitan Business School, London Metropolitan University, 84 Moorgate, London EC2M 6SQ, United Kingdom [Field not mapped to EPrints] JA - J. Int. Money Financ. [Field not mapped to EPrints]
Uncontrolled keywords: Country index, International banks, Ordered logit models, Ratings
Subjects: H Social Sciences > HG Finance
Divisions: Faculties > Social Sciences > Kent Business School > Accounting and Finance
Depositing User: Tracey Pemble
Date Deposited: 08 Apr 2014 14:30 UTC
Last Modified: 11 Jun 2019 09:25 UTC
Resource URI: https://kar.kent.ac.uk/id/eprint/39084 (The current URI for this page, for reference purposes)
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