Home  Journals  Financial Analytics: Science and Experience  14(38) - 2010 October

The comparative analysis of the models of formation is rating

Available online: 25 October 2010

Subject Heading: ESTIMATION OF THE BUSINESS

JEL Classification: 

This article demonstrates some aspects of rating modeling for banks using the econometric approach. We evaluate credit ratings examining the bank data at long period of time including the last financial crisis. Special attention is devoted to preparing the database, choosing the explanatory variables, analyzing the forecasting power and stability of the models. We analyze peculiarities of rating models for banks from different markets and regions (developed, CEE, BRIC, CIS etc.), as well as differences in methodologies of the largest international rating agencies. Our empirical research uses data for banks from 86 countries for the 1995-2009 time period.

Keywords: bank, credit, rating, rating model, evaluation, risk, econometric

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ISSN 2311-8768 (Online)
ISSN 2073-4484 (Print)

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