Warianty tytułu
Insurance Companies' Credit Ratings Determinants
Języki publikacji
Abstrakty
Agencje ratingowe pełnią kluczową rolę przy ocenie ryzyka upadłości emitenta. Dotychczasowe badania były przeprowadzane dla firm oraz banków. Istnieje luka badawcza na temat determinant ratingów instytucji ubezpieczeniowych. Celem artykułu jest analiza czynników wpływających na credit rating instytucji ubezpieczeniowych. Przeprowadzono badania literaturowe i postawiono następujące hipotezy badawcze. Pierwsza z nich to: Credit ratingi instytucji ubezpieczeniowych determinowane są adekwatnością kapitałową, jakością aktywów, jakością zarządzania, efektywnością i wskaźnikami płynności. Druga z brzmi następująco: Credit rating kraju wpływa statystycznie istotnie na noty ubezpieczycieli. Do analizy zostały wykorzystane długoterminowe noty ratingowe emitenta publikowane przez duże agencje ratingowe. Do weryfikacji zaprezentowanych hipotez zastosowano uporządkowane panelowe modele logitowe. Badanie zostało przygotowane na danych kwartalnych dla instytucji ubezpieczeniowych z Europy. Dane zostały zebrane z bazy Thomson Reuters Database dla lat 1995 - 2016.(abstrakt oryginalny)
Credit rating agencies play a key role in assessing the issuer's default risk. Previous research was conducted for companies and banks. It is a research gap about the determinants of ratings for insurance companies. The aim of the paper has been to analyse factors influence on insurance companies' credit ratings. It has been made a literature review, and as a result there have been put the following hypotheses. The first one is: Insurance companies credit ratings are determined by capital adequacy, assets quality, management quality, efficiency and liquidity factors. The second one seems: Countries' credit ratings influence statistically significantly on insurance notes. To the analysis there have been used long-term issuer credit ratings proposed bigger credit rating agencies. To verify the presented hypotheses there have been used ordered logit panel data models. The research has been prepared on quarterly data for all assessed insurance companies from all the world. Data have been collected from Thomson Reuters Database from 1995 to 2016.(original abstract)
Czasopismo
Rocznik
Numer
Strony
58--69
Opis fizyczny
Twórcy
- Uniwersytet Warszawski
Bibliografia
- 1. Adams M., Burton B., Hardwick P., 2003, The Determinants of Credit Ratings in the United Kingdom Insurance Industry, Journal of Business Finance & Accounting, nr 30(3-4), s. 539- 572.
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- 5. Bolton P., Freixas X., Shapiro J., 2012, The Credit Ratings Game, Journal of Finance, nr67, s. 85- 112.
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- 7. Bouzouita R., Young A.J., 1998, A Probit Analysis of Best Ratings, The Journal of Insurance Issues, nr Spring, s. 23- 34.
- 8. Brotman B.A., 1989, Reliability of Best's Insurer Ratings Using Financial Information Published in the Annual Report, Journal of Insurance Issues and Practices, nr Spring, s. 58- 70.
- 9. Camanho N., Deb P., Liu Z., 2012, Credit rating and competition, Working Paper.
- 10. Caporale G.M., Cerrato M., Zhang X., 2016, Analysing the Determinants of Credit Risk for General Insurance Firms in the UK, D1W Berlin Discussion Paper, nr 1591.
- II. Chen R., Wong K. A., 2004, The determinants of financial health of Asian insurance companies, Journal of Risk and Insurance, nr 71(3), s. 469- 499.
- 12. Das U.S., Davies N., Podpiera R., 2003, Insurance and Issues in Financial Soundness, IMF Working Paper, nr WP/03/138.
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- 14. Doherry N. A., Kartasheva A., Phillips R.A., 2012, Information effect of entry into credit ratings market: The case of insurers 'ratings, Journal of Financial Economics, nr 106, s. 308- 330.
- 15. Doumpos M., Gaganis C., Pasiouras F., 2012, Estimating and Explaining the Financial Performance of Property and Casualty Insurers: A Two-Stage Analysis, Journal of CENTRUM Cathedra: The Business and Economics Research Journal, nr 5(2), s. 155- 170.
- 16. Ferri G., Liu L.G., Stiglitz J.E., 1999, Are Credit Ratings Pro-cyclical? Evidence from East Asian Countries, Economic Notes, nr 28(3), s. 335- 355.
- 17. Fiegenbaum A., Thomas H., 1990, Strategic groups and performance: The U.S. insurance industry, 1970-84, Strategic Management Journal, nr 11(3), s. 197- 215.
- 18. Florez-Lopez R., 2007. Modelling of insurers' rating determinants: An application of machine learning techniques and statistical models, European Journal of Operational Research, nr 183(3), s. 1488- 1512.
- 19. Gaver J.J., Portier S.W., 2005, The Role of Holding Company Financial Information in the Insurer-Rating Process: Evidence From the Property-Liability Industry, The Journal of Risk and Insurance, nr 72(1), s. 77- 103.
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- 26. Pasiouras F., Gaganis C., 2013, Regulations and soundness of insurance firms: International evidence, Journal of Business Research, nr 66(5), s. 632- 642.
- 27. Portier S.W., Sommer D.W., 1999, Property-liability insurer financial strength ratings: Differences across rating agencies, The Journal of Risk and Insurance, nr 66(4), s. 621 - 642.
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- 29. Rozporządzenie Parlamentu Europejskiego i Rady (WE) nr 1060/2009 z dnia 16 września 2009 r. w sprawie agencji ratingowych.
- 30. Salcedo-Sanz S., Fernandez-Vii lacanas J-L., Segovia-Vargas M. J., Bousofio-Calzón C, 2005, Genetic programming for the prediction of insolvency in non-life insurance companies, Computers and Operations Research, nr 32(4), s. 749- 765.
- 31. Shiu Y.-M., 2007, An empirical investigation on derivatives usage: evidence from the United Kingdom general insurance industry, Applied Economics Letters, nr 14(5), s. 353- 360.
- 32. Shiu Y.-M., 2011, Reinsurance and Capital Structure: Evidence from the United Kingdom Non-Life Insurance Industry, The Journal of Risk and Insurance, nr 78(2), s. 475- 494.
- 33. Skręta V., Veldkamp L., 2009, Rating shopping and asset complexity: a theory of ratings inflation, Journal of Monetary Economics, nr 56(5), s. 678- 695.
- 34. Van Gestel T., Martens D., Baesens B., Feremans D., Huysmans J., Vanthienen J., 2007, Forecasting and analysing insurance companies' ratings, International Journal of Forecasting, nr 23(3), s. 513- 529.
- 35. Yu T., Lin B., Oppenheimer H.R., Chen, X., 2006, Intangible assets, going-for-broke and asset risk taking of property and liability insurance firms, http://ssrn.com/abstract=923653, dostęp z dnia 17.04.2017 r.
Typ dokumentu
Bibliografia
Identyfikatory
Identyfikator YADDA
bwmeta1.element.ekon-element-000171494796