Economics at your fingertips  

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

Abstract: 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.

Date: 2008-11-17
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) (application/pdf)

Related works:
Journal Article: Models for Moody’s Bank Ratings (2011) Downloads
Working Paper: Models for Moody’s bank ratings (2011) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link:

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 ().

Page updated 2021-04-14
Handle: RePEc:bof:bofitp:2008_017