Are rating agencies' assignment opaque? Evidence from international banks

Bellotti, Tony and Matousek, Roman and Stewart, Chris (2010) Are rating agencies' assignment opaque? Evidence from international banks. Centre for EMEA Banking, Finance and Economics Working Paper Series, 2010 (01). pp. 1-32.

[img]
Preview
Text
CentreForInternationalCapitalMarketsWorkingPapers_2010-01_p01-32.pdf - Published Version

Download (267kB) | Preview
Official URL: http://www.londonmet.ac.uk/media/london-metropolit...

Abstract

We 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.

Item Type: Article
Uncontrolled Keywords: Centre for EMEA Banking, Finance and Economics Working Paper Series; international banks; ratings; support vector machines; ordered choice models; country effects
Subjects: 300 Social sciences > 330 Economics
Department: Guildhall School of Business and Law
Depositing User: Mary Burslem
Date Deposited: 17 Apr 2015 11:32
Last Modified: 20 Apr 2015 08:58
URI: http://repository.londonmet.ac.uk/id/eprint/399

Actions (login required)

View Item View Item