Bellotti, Tony, Matousek, Roman and Stewart, Chris (2011) Are rating agencies’ assignments opaque? Evidence from international banks. Expert Systems with Applications, 38 (4). pp. 4206-4214. ISSN 0957-4174
Full text not available from this repository.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 |
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Keywords: | International banks; Ratings; Support vector machines; Ordered choice models; Country effects |
Schools and Departments: | School of Business, Management and Economics > Business and Management |
Subjects: | H Social Sciences > HG Finance > HG4001 Finance management. Business finance. Corporation finance |
Depositing User: | Roman Matousek |
Date Deposited: | 20 Sep 2012 10:31 |
Last Modified: | 20 Sep 2012 10:31 |
URI: | http://srodev.sussex.ac.uk/id/eprint/40753 |