An approach to ratings mapping

Sergey Aivazian, Sergey Golovan (), Alexandr Karminsky and Anatoly Peresetsky
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Sergey Golovan: CEFIR, Moscow

Applied Econometrics, 2011, vol. 23, issue 3, 13-40

Abstract: 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.

Keywords: bank ratings; ratings mapping; ordered choice models; rating agency (search for similar items in EconPapers)
JEL-codes: C25 C50 C58 G21 G24 G28 G32 (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (2)

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