|
|
Models for Moody’s Bank Ratings (Peresetsky A.A., Karminsky A.M.)Bank Systems Ratings Risk-taking and Risk Management
| Abstract |
The paper presents an econometric study of the two bank ratings assigned by Moody's Investors Service. According to Moody’s methodology, foreign-currency long-term deposit ratings are assigned on the basis of Bank Finan-cial 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 infor-mation can approximate the ratings reasonably well. It appears that the ob-served rating degradation can be explained by the growth of the banking sys-tem as a whole. Moody’s has a special approach for banks in developing countries in general and for Russia in particular. The models help reveal the factors that are important for external bank support. |
| External link |
Download |
| Libref/ |
Peresetsky A.A., Karminsky A.M. (2011) "Models for Moody’s Bank Ratings", Frontiers in Finance and Economics , Vol. 1, No. 8 (2011): pp. 88-110 |
|
|
