Models for Moody's bank ratings
Anatoly Peresetsky and
Alexandr Karminsky ()
No 17/2008, BOFIT Discussion Papers from Bank of Finland, Institute for Economies in Transition
The paper presents an econometric study of the two bank ratings assigned by Moody's In-vestors Service. According to Moody s methodology, foreign-currency long-term deposit ratings are assigned on the basis of Bank Financial Strength Ratings (BFSR), taking into account external bank support factors (joint-default analysis, JDA). Models for the (unobserved) external support are presented, and we find that models based solely on public information can reasonably well approximate the ratings. It appears that the observed rating degradation can be explained by growth of the banking system as a whole. Moody s has a special approach for banks in developing countries and Russia in particular. The models help reveal the factors that are important for external bank support.
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (8) Track citations by RSS feed
Published in Published in Frontiers in Finance and Economics, 2011, 8(1), pp. 88-110
Downloads: (external link)
Journal Article: Models for Moody’s Bank Ratings (2011)
Working Paper: Models for Moody’s bank ratings (2011)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:bof:bofitp:2008_017
Access Statistics for this paper
More papers in BOFIT Discussion Papers from Bank of Finland, Institute for Economies in Transition Bank of Finland, BOFIT, P.O. Box 160, FI-00101 Helsinki, Finland. Contact information at EDIRC.
Bibliographic data for series maintained by Minna Nyman ().