Models for the External Support Component of Moody's Bank Ratings

The paper presents an econometric study of the two bank ratings assigned by Moody's Investors Service. We find the models based solely on public information can approximate the ratings reasonably well. It is demonstrated that Moody’s has a special approach for banks in developing countries and in Russia particularly. Models for the (unobserved) external support are presented. The models help reveal factors that are important for the external bank support

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Year of publication:	2009
Authors:	Peresetsky, Anatoly
Published in:	Applied Econometrics. - Publishing House "SINERGIA PRESS". - Vol. 14.2009, 2, p. 3-23
Publisher:	Publishing House "SINERGIA PRESS"
Subject:	Bank ratings \| rating agency \| rating’s model \| modeling unobserved factor \| matching ratings

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Extent:	application/pdf
Type of publication:	Article
Language:	English
Classification:	C25 - Discrete Regression and Qualitative Choice Models ; G21 - Banks; Other Depository Institutions; Mortgages ; G24 - Investment Banking; Venture Capital; Brokerage ; G28 - Government Policy and Regulation ; G32 - Financing Policy; Capital and Ownership Structure
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10009018551