A multivariate study of spanish bond ratings

C. Mar Molinero, P. Apellaniz Gomez and C. Serrano Cinca
Authors registered in the RePEc Author Service: Carlos Serrano-Cinca ()

Omega, 1996, vol. 24, issue 4, 451-462

Abstract: In this paper we analyse the ratings given in 1993 to the main Spanish banks, both private and governmental. We use 24 financial ratios obtained from the balance and the profit and loss accounts. Multidimensional scaling (MDS), a multivariate technique which is intuitive and robust to the data, forms the basis of the study. This is complemented with other multivariate statistical techniques such as cluster analysis, property fitting (ProFit) and discriminant analysis. The results identify the financial information that has been used by the rating agency. They also confirm the conjecture that other factors, such as the public or private character of the institution, have also been taken into account by the rating agents.

Keywords: Key; words-multidimensional; scaling; bond; ratings; Spanish; banking; system; financial; ratios (search for similar items in EconPapers)
Date: 1996
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Citations: View citations in EconPapers (5)

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