Models for the External Support Component of Moody's Bank Ratings

Anatoly Peresetsky

Applied Econometrics, 2009, vol. 14, issue 2, 3-23

Abstract: The paper presents an econometric study of the two bank ratings assigned by Moody's Investors Service. We find the models based solely on public information can approximate the ratings reasonably well. It is demonstrated that Moody’s has a special approach for banks in developing countries and in Russia particularly. Models for the (unobserved) external support are presented. The models help reveal factors that are important for the external bank support

Keywords: Bank ratings; rating agency; rating’s model; modeling unobserved factor; matching ratings (search for similar items in EconPapers)
JEL-codes: C25 G21 G24 G28 G32 (search for similar items in EconPapers)
Date: 2009
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Citations: View citations in EconPapers (5)

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