Analysis of Factors Determining the Credit Rating of Banks from Western European Countries (Analiza czynników determinujacych rating kredytowy bankow z krajow Europy Zachodniej)

Dorota Krol ()
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Dorota Krol: Faculty of Management, University of Warsaw

Research Reports, 2019, vol. 1, issue 30, 43-55

Abstract: The aim of the article is to analyze the determinants affecting credit ratings of banks from Western European countries. On the basis of the literature review, two research hypotheses were put forward. The first of these assumes that the financial indicators related to capital adequacy, asset quality, management quality, profitability and liquidity have a statistically significant effect on the credit rating of the analyzed bank. The second hypothesis indicates that the factors determining the bank’s credit rating are the country’s macroeconomic indicators and the rating assigned to this country. The analysis used the quarterly data for the years 2010–2017 from the Thomson Reuters database and OECD statistics collected for commercial banks in Western Europe. Based on the prepared data, calculations were carried out using static panel models. The long-term ratings assigned to banks by the two largest rating agencies in the world, i.e. S&P Long-term Issuer Rating (Foreign) and Moody’s Long-term Issuer Rating (Foreign), were used as a dependent variable. Independent variables, on the other hand, include financial indicators and macroeconomic indices of the country where the bank is located and the credit rating of that country.

Keywords: credit rating agency; credit rating; credit risk; financial indicator (search for similar items in EconPapers)
JEL-codes: C23 G21 G24 (search for similar items in EconPapers)
Date: 2019
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Persistent link: https://EconPapers.repec.org/RePEc:sgm:resrep:v:1:i:30:y:2019:p:43-55

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