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Czasopismo
2020 | 16 | nr 2 | 24--36
Tytuł artykułu

Is Bigger Better? The Impact of the Size of Banks on Credit Ratings

Warianty tytułu
Języki publikacji
EN
Abstrakty
EN
The aim of the paper was to analyse the factors influencing European banks' credit ratings by taking into account the size of these institutions. A literature review onthe indicators that can impact bank notes has been made. As a result, the following hypotheses have beendrawn:banks' capital adequacy, profitability, liquidity and management quality have a significant influence on bank credit ratings. Bigger banks receive higher credit ratings than the smaller ones in similar financial conditions. To verify the presented hypotheses ordered logit panel data models have been used. The analysis has been prepared by using the quarterly data from the Thomson Reuters database for the period between 1998 to 2015. The European banks' long-term issuer credit ratings proposed by S&P, Fitch and Moody are used as dependent variables. The sample has been divided into subsamples according to the size of a bank andbanking sector and capitalization. (original abstract)
Czasopismo
Rocznik
Tom
16
Numer
Strony
24--36
Opis fizyczny
Twórcy
  • University of Warsaw, Poland
Bibliografia
  • Bellotti, T., Matousek, R., Stewart, C. (2011a). A Note Comparing Support Vector Machines and Ordered Choice Models' Predictions of International Banks' Rating. Decision Support Systems, 51 (3), 682-687.
  • Bellotti, T., Matousek, R., Stewart, C. (2011b). Are Rating Agencies' Assignments Opaque? Evidence from International Banks. Expert Systems with Applications, 38(4), 4206- 4214.
  • Bissoondoyal-Bheenick, E., Treepongkaruna, S. (2011). An Analysis of the Determinants of bank ratings: comparison across ratings agencies. Australian Journal of Management, 36(3), 405- 424.
  • Brezigar-Masten, A.,Masten, I., Volk, M. (2015). Discretionary Credit Rating and Bank Stability in a Financial Crisis, Eastern European Economics, 53(5), 377-402.
  • Chodnicka - Jaworska, P. (2016). Banks credit ratings - is the size of the credit rating agency important?. Working paper.
  • Estrella, A., Park, S.,Peristiani, S. (2000). Capital Ratios as Predictors of Bank Failure. FRBNY Economic Policy Review, July, 33-52.
  • Ferri, G., Liu, L.G., Stiglitz, J.E. (1999). Are Credit Ratings Pro-cyclical? Evidence from East Asian Countries. Economic Notes, 28(3), 335- 55.
  • Hassan, O.A.G, Barrell, R. (2013). Accounting for the Determinants of Banks' Credit Ratings. Brunel University of London Economics and Finance Working Paper Series, 13-02.
  • Hau, H., Langfield, S., Marques-Ibanez, D. (2012). Bank Ratings what Determines their Quality? EBC Working Paper Series,1484, October.
  • Jacobson, T., Lindé, J., Roszbach, K. (2006). Internal Ratings Systems, Implied Credit Risk and the Consistency of Banks' Risk Classification Policies. Journal of Banking & Finance, 30(7), 1899-1926
  • King, M.K., Ongena, S., Tarashev. N. (2016). Bank standalone creditratings. BIS Working Papers, 542, 1-62.
  • McDonald, A., Eastwood, G. (2000). Credit Risk Ratingat Australian Banks. APRA Working Papers, 7, December, 1-32.
  • Öğüt, H., Doğanay, M.M., Ceylan, N.B., Aktaş, R. (2012). Prediction of Bank Financial Strength Ratings: The Case of Turkey. Economic Modelling, 29, 632-640.
  • Ötker-Robe, I., Podpiera, J. (2010). The Fundamental Determinants of Credit Default Risk for European Large Complex Financial Institutions. IMF Working Paper, WP/10/153.
  • Packer, F., Taraschev, N. (2011). Rating Methodologies for Banks. BIS Quarterly Review, June.
  • Pagratis, S., Stringa, M. (2007). Modelling Bank Credit Ratings: A Structural Approach to Moody's Credit Risk Assessment. Athens University of Business and Economics Working Paper.
  • Poon, W.P.H., Firth, M., Fung, H. (1999). A Multivariate Analysis of The Determinants of Moody's Bank Financial Strength Ratings. Journal of International Financial Markets, Institutions and Money, 9(3), 267-283.
  • Poon, W., Lee, J., Gup, B.E. (2009). Do Solicitations Matter In Bank Credit Ratings? Results from a Study of 72 Countries. Journal of Money, Credit and Banking, 41, 285-314.
  • Shen, C., Huang, Y., Hasan, I. (2012). Asymmetric Benchmarking in Bank Credit Rating. Journal of International Financial Markets, Institutions & Money, 22, 171-193.
Typ dokumentu
Bibliografia
Identyfikatory
Identyfikator YADDA
bwmeta1.element.ekon-element-000171606053

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