Models for Moody's bank ratings
Peresetsky, Anatoly; Karminsky, Alexander (17.11.2008)
Numero
17/2008Julkaisija
Bank of Finland
2008
Julkaisun pysyvä osoite on
https://urn.fi/URN:NBN:fi:bof-201408072122Tiivistelmä
The paper presents an econometric study of the two bank ratings assigned by Moody's In-vestors Service. According to Moody s methodology, foreign-currency long-term deposit ratings are assigned on the basis of Bank Financial 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 information can reasonably well approximate the ratings. It appears that the observed rating degradation can be explained by growth of the banking system as a whole. Moody s has a special approach for banks in developing countries and Russia in particular. The models help reveal the factors that are important for external bank support.
Julkaisuhuomautus
Published in Frontiers in Finance and Economics, 2011, 8(1), pp. 88-110. Published in Russian in Applied Econometrics (Прикладная эконометрика), Vol. 14, No. 2, 2009, стр. 3-23.
as Measuring external support factor of Moody’s bank ratings (Измерение компоненты внешней поддержки рейтингов агентства Moody’s).
as Measuring external support factor of Moody’s bank ratings (Измерение компоненты внешней поддержки рейтингов агентства Moody’s).