Are rating agencies' assignments opaque? Evidence from international banks

Expert Systems with Applications

Volumn 38, Issue 4, 2011, Pages 4206-4214

  Bellotti, Tony ^a   Matousek, Roman ^b   Stewart, Chris ^b  

^a UNIVERSITY OF EDINBURGH BUSINESS SCHOOL   (United Kingdom)

^b LONDON METROPOLITAN UNIVERSITY   (United Kingdom)

Author keywords

Country effects; International banks; Ordered choice models; Ratings; Support vector machines

Indexed keywords

BANK RATINGS; CHOICE MODEL; COUNTRY EFFECTS; FINANCIAL POSITION; INTERNATIONAL BANKS; PREDICTIVE PERFORMANCE; RATING AGENCIES; SUPPORT VECTOR;

VECTORS;

SUPPORT VECTOR MACHINES;

EID: 78650700826     PISSN: 09574174     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.eswa.2010.09.085     Document Type: Article

References (18)

1. E. Altman, and H.A. Rijken How rating agencies achieve rating stability Journal of Banking & Finance 28 2004 2679 2714
2. E.I. Altman, and A. Saunders Credit risk measurement: Developments over the last 20 years Journal of Banking & Finance 21 1998 1721 1742
3. J.D. Amato, and C.H. Furfine Are credit ratings procyclical? Journal of Banking and Finance 29 2004 2641 2677
4. Chang, C.-C.; Lin, C.-J. (2001). LIBSVM: A library for support vector machines. Software Available from: .
5. W.H. Greene Econometric analysis 6th ed. 2008 Prentice Hall Pearson
6. D.F. Hendry Modelling UK inflation, 1875-1991 Journal of Applied Econometrics 16 2001 255 275
7. D.F. Hendry, and C. Santos Regression models with data-based indicator variables Oxford Bulletin of Economics and Statistics 67 5 2005 571 595
8. M. Kamstra, P. Kennedy, and T.K. Suan Combining bond rating forecasts using logit The Financial Review 37 2001 75 96
9. S.K. Kim Predicting bond ratings using publicly available information Expert Systems with Applications 29 2005 75 81
10. J. Kolari, M. Caputo, and D. Wagner Trait recognition: An alternative approach to early warning systems in commercial banking Journal of Business Finance and Accounting 23 1996 1415 1434
11. J. Kolari, D. Glennon, H. Shin, and M. Caputo Predicting large US commercial bank failures Journal of Economics and Business 54 2002 361 387
12. Y.C. Lee Application of support vector machines to corporate credit rating prediction Expert Systems with Applications 33 2007 67 74
13. R. Levich, G. Majnoni, and C. Rinhart Ratings, rating and agencies and the global financial system 2002 Kluwer Publishing
14. P. Meyer, and H. Pifer Prediction of bank failures Journal of Finance 25 1970 853 868
15. D.P. Morgan Rating banks: Risk and uncertainty in an opaque industry The American Economic Review 92 4 2002 874 888
16. Portes, R. (2008). Ratings agency reform. Vox. 22.01.08.
17. V. Vapnik The nature of statistical learning theory 1995 Springer NY
18. H. Zan, H. Chen, C.-J. Hsu, W.-H. Chen, and S. Wu Credit rating analysis with support vector machines and neural networks: A market comparative study Decision Support Systems 37 2004 543 558