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Are rating agencies’ assignments opaque? Evidence from international banks
journal contribution
posted on 2023-06-08, 12:26 authored by Tony Bellotti, Roman Matousek, Chris StewartWe compare the ability of ordered choice models and support vector machines to model and predict international bank ratings. Although support vector machines can identify significant determinants we argue that ordered choice models are more reliable for this. Our findings suggest that ratings reflect a bank’s financial position, the timing of rating assignment and a bank’s country of origin. Accounting for country effects substantially improves predictive performance. We find that support vector machines can produce considerably better predictions of international bank ratings than ordered choice models due to the formers ability to estimate a large number of country dummies unrestrictedly.
History
Publication status
- Published
Journal
Expert Systems with ApplicationsISSN
0957-4174Publisher
ElsevierExternal DOI
Issue
4Volume
38Page range
4206-4214Department affiliated with
- Business and Management Publications
Full text available
- No
Peer reviewed?
- Yes
Legacy Posted Date
2012-09-20Usage metrics
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