An approach to ratings mapping

In the paper an econometric method of rating scales mapping is suggested. The method is based on the setting up ordered choice models for the ratings and mapping the correspondent latent variables («continuous ratings») with a monotone function. The method takes into account bank’s financial indicators and other factors which rating agency’s experts use in their work. The method is tested on the real data on Russian banks’ ratings and their quarterly balance sheet data for the period 2006:1 – 2010:4.

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Year of publication:	2011
Authors:	Peresetsky, Анатолий Пересецкий ; Aivazian, Sergey ; Golovan, Sergey ; Karminsky, Alexander
Published in:	Applied Econometrics. - Publishing House "SINERGIA PRESS". - Vol. 23.2011, 3, p. 13-40
Publisher:	Publishing House "SINERGIA PRESS"
Subject:	bank ratings \| ratings mapping \| ordered choice models \| rating agency

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Extent:	application/pdf
Type of publication:	Article
Classification:	C25 - Discrete Regression and Qualitative Choice Models ; C50 - Econometric Modeling. General ; c58 ; G21 - Banks; Other Depository Institutions; Mortgages ; G24 - Investment Banking; Venture Capital; Brokerage ; G28 - Government Policy and Regulation ; G32 - Financing Policy; Capital and Ownership Structure
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10009292415