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.
CentreForInternationalCapitalMarketsWorkingPapers_2010-01_p01-32.pdf - Published Version
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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.
|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|
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