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A note on ratings of international banks

journal contribution
posted on 2023-06-08, 12:27 authored by Roman Matousek, Chris Stewart
Purpose – The purpose of this paper is to analyse the quantitative determinants of individual ratings of commercial banks (as conducted by Fitch Ratings). Design/methodology/approach – The ordered probit model is applied as an extension of the standard binary probit model. The model is estimated using a sample of 681 international banks. Findings – Banks with a greater capitalisation, larger assets, and a higher return on assets have higher bank ratings. Further, the greater is a bank's liquidity, the larger is its net interest margin and the more is the ratio of its operating expenses to total operating income the lower is a bank's rating. Originality/value – Modelling the determinants of international bank ratings spanning a sample of 90 countries. Applying a model with dynamics that considers whether the rating is determined by information up to four years prior to the rating date.

History

Publication status

  • Published

Journal

Journal of Financial Regulation and Compliance

ISSN

1358-1988

Publisher

Emerald Group Publishing Limited

Issue

2

Volume

17

Page range

146-155

Department affiliated with

  • Business and Management Publications

Full text available

  • No

Peer reviewed?

  • Yes

Legacy Posted Date

2012-10-03

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    University of Sussex (Publications)

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