A note on ratings of international banks

Matousek, Roman and Stewart, Chris (2009) A note on ratings of international banks. Journal of Financial Regulation and Compliance, 17 (2). pp. 146-155. ISSN 1358-1988

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Abstract

Purpose – The purpose of this paper is to analyse the quantitative determinants of individual ratings of commercial banks (as conducted by Fitch Ratings).

Design/methodology/approach – The ordered probit model is applied as an extension of the standard binary probit model. The model is estimated using a sample of 681 international banks.

Findings – Banks with a greater capitalisation, larger assets, and a higher return on assets have higher bank ratings. Further, the greater is a bank's liquidity, the larger is its net interest margin and the more is the ratio of its operating expenses to total operating income the lower is a bank's rating.

Originality/value – Modelling the determinants of international bank ratings spanning a sample of 90 countries. Applying a model with dynamics that considers whether the rating is determined by information up to four years prior to the rating date.

Item Type: Article
Schools and Departments: School of Business, Management and Economics > Business and Management
Subjects: H Social Sciences > HG Finance > HG4001 Finance management. Business finance. Corporation finance
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Depositing User: Roman Matousek
Date Deposited: 03 Oct 2012 13:31
Last Modified: 03 Oct 2012 13:31
URI: http://sro.sussex.ac.uk/id/eprint/40778
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