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Are rating agencies' assignments opaque? Evidence from international banks

Bellotti, Tony, Matousek, Roman, Stewart, Chris (2011) Are rating agencies' assignments opaque? Evidence from international banks. Expert Systems with Applications, 38 (4). pp. 4206-4214. ISSN 0957-4174. (doi:10.1016/j.eswa.2010.09.085) (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.eswa.2010.09.085

Abstract

We compare the ability of ordered choice models and support vector machines to model and predict international bank ratings. Although support vector machines can identify significant determinants we argue that ordered choice models are more reliable for this. Our findings suggest that ratings reflect a bank's financial position, the timing of rating assignment and a bank's country of origin. Accounting for country effects substantially improves predictive performance. We find that support vector machines can produce considerably better predictions of international bank ratings than ordered choice models due to the formers ability to estimate a large number of country dummies unrestrictedly. © 2010 Elsevier Ltd. All rights reserved.

Item Type: Article
DOI/Identification number: 10.1016/j.eswa.2010.09.085
Additional information: Unmapped bibliographic data: AD - University of Edinburgh Business School, William Robertson Building, 50 George Square, Edinburgh EH8 9JY, United Kingdom [Field not mapped to EPrints] AD - Centre for International Capital Markets, London Metropolitan Business School, London Metropolitan University, 84 Moorgate, London EC2M 6SQ, United Kingdom [Field not mapped to EPrints] JA - Expert Sys Appl [Field not mapped to EPrints]
Uncontrolled keywords: Country effects, International banks, Ordered choice models, Ratings, Support vector machines, Bank ratings, Choice model, Country effects, Financial position, International banks, Predictive performance, Rating agencies, Support vector, Vectors, Support vector machines
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 15:12 UTC
Last Modified: 29 May 2019 12:04 UTC
Resource URI: https://kar.kent.ac.uk/id/eprint/39099 (The current URI for this page, for reference purposes)
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