Banks credit ratings – is the size of the credit rating agency important?

Patrycja Chodnicka-Jaworska ()
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Patrycja Chodnicka-Jaworska: Department of Banking and Money Markets, Faculty of Management, University of Warsaw

No 32018, Faculty of Management Working Paper Series from University of Warsaw, Faculty of Management

Abstract: The basic goal of the article was to analyse macroeconomic and financial factors influencing the European banks’ credit ratings. A research question has been put as follows: Do, both small and big, credit rating agencies use the same methods for estimation of default risk? In the paper are put three hypotheses. The first one is: Countries’ risk has a significant influence on banks’ credit ratings changes. The second one seems as follows: A significant influence on banks’ credit ratings is the banks’ capital adequacy, profitability, liquidity and management quality. The last one is: The determinants of credit ratings assigned by major rating agencies are similar to those considered by the small agencies. For verification of these hypothesis the quarterly data form the Thomson Reuters database were collected. As dependent variables, the long term issuer credit ratings proposed European banks by the recognizable and smaller CRAs from 1998 to 2015 period of time are used. The analysis has been prepared in the sub-samples according to: the type of credit rating, the domestic and foreign notes and the political division.

Keywords: credit rating; macroeconomic variables; CAMEL factors (search for similar items in EconPapers)
JEL-codes: C23 G15 G21 (search for similar items in EconPapers)
Pages: 35 pages
Date: 2018-12
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http://www.wz.uw.edu.pl/portaleFiles/5630-Faculty% ... s_credit_ratings.pdf First version, 2018 (application/pdf)

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Persistent link: https://EconPapers.repec.org/RePEc:sgm:fmuwwp:32018

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