The bank's rating, the rating agencies, Basel II of, financial indicator, the econometric model

Влияние финансовых показателей на международные рейтинги российских банков

Olga Volkova and Lvova, Irina (Львова, Ирина) ()
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Lvova, Irina (Львова, Ирина): NRU HSE

Ekonomicheskaya Politika / Economic Policy, 2016, vol. 1, 177—195

Abstract: In this paper we construct an econometric model based Russian bank ratings, trailers rating agency Moody's, S & P and Fitch in 2010-2013, on the financial statements of banks. It identified the most important factors that determine the trend in the assignment of ratings for all agencies throughout the period under review. It has been demonstrated that the relevance of some indicators varies during the period: their influence on the rating is higher in periods following the financial crisis, especially in the previous them. Targeted financial policy pursued by the bank's management, may lead to a change in its rating, at least for some agencies, but the same measures aimed at improving the financial statements of a particular bank, is likely to lead to different results for different ratings. These authors of the simulation results are compared with those of other domestic and foreign authors, showing their compliance.

Keywords: the bank's rating; the rating agencies; Basel II of; financial indicator; the econometric model (search for similar items in EconPapers)
JEL-codes: C5 G21 G32 (search for similar items in EconPapers)
Date: 2016
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Persistent link: https://EconPapers.repec.org/RePEc:rnp:ecopol:e16012

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