Post by Sapphire Capital on Jan 22, 2009 22:23:20 GMT 4
Models for Moody's Bank Ratings
Anatoly Peresetsky
New Economic School - Central Economics and Mathematics Institute
Alexander M. Karminsky
affiliation not provided to SSRN
October 25, 2008
BOFIT Discussion Paper No. 17/2008
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 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.
papers.ssrn.com/sol3/Delivery.cfm/SSRN_ID1304590_code839764.pdf?abstractid=1304590&mirid=3
Anatoly Peresetsky
New Economic School - Central Economics and Mathematics Institute
Alexander M. Karminsky
affiliation not provided to SSRN
October 25, 2008
BOFIT Discussion Paper No. 17/2008
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 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.
papers.ssrn.com/sol3/Delivery.cfm/SSRN_ID1304590_code839764.pdf?abstractid=1304590&mirid=3