Discrete versus continuous parametrization of bank credit rating systems optimization using differential evolution

2010 ◽  
Author(s):  
K. M. Leung ◽  
Xi Zhang
Keyword(s):  
Differential Evolution ◽  
Credit Rating ◽  
Bank Credit ◽  
Rating Systems

Internal credit rating systems: methodology and economic value

2009 ◽  
Vol 3 (2) ◽  
pp. 11-34 ◽  
Author(s):  
Radu Neagu ◽  
Sean Keenan ◽  
Kete Chalermkraivuth
Keyword(s):  
Credit Rating ◽  
Economic Value ◽  
Rating Systems ◽  
Systems Methodology

scholarly journals Oczekiwanie zmiany nastawienia credit ratings banków a kursy akcji przy uwzględnieniu poziomu rozwoju gospodarczego kraju

2017 ◽  
pp. 105-120
Author(s):  
Patrycja Chodnicka-Jaworska
Keyword(s):  
Credit Rating ◽  
Developing Economies ◽  
Credit Ratings ◽  
Bank Credit ◽  
Rates Of Return ◽  
Share Prices ◽  
Rating Agencies ◽  
Thomson Reuters ◽  
Event Study Method ◽  
Independent Variable

The aim of the paper is verification of the following hypothesis the share prices of banks have stronger reaction to bank credit rating announcements changes for a downgrade, both in developed and developing economies. The analysis(event study method) has been based on data from Thomson Reuters for the years 1980-2015 for 24 countries. Outlooks and watch lists proposed by all credit rating agencies have been used as an independent variable. Daily differences between the logarithmized rates of return of banks' shares have been used as dependent variable.

scholarly journals Bank Credit Risk Rating Process: Is There a Change With the 2007-09 Crisis?

2021 ◽  
Vol 12 (5) ◽  
pp. 41
Author(s):  
Emna Damak
Keyword(s):  
Credit Risk ◽  
Credit Rating ◽  
Lessons Learned ◽  
Bank Credit ◽  
Rating Agencies ◽  
Risk Rating ◽  
Rating Process ◽  
Before And After ◽  
Relevant Variables ◽  
Rating Changes

The purpose of this article is to study empirically the bank credit risk rating (BCRR) process over time using 89 banks from 27 EMENA countries rated by S&P’s simultaneously before and after 2007-09 crises. We made this comparison based on the CAMELS model with a proposed ‘S’ to BCRR. We use "ordered logit" regression for the rating classes and we complete our analysis by “linear multiple” regression for the rating grades. The results show that the rating changes in 2012 are mainly a methodology revision consequence of the entire rating process changes, including the weight of components, the important factors and the relevant variables in order to take into account some of the lessons learned from this global crisis. They also show a consistence between the BCRR's revealed and practiced methodologies revised by the credit rating agencies (CRAs).

An Innovative Framework for Building Agency-Free Credit Rating Systems

2017 ◽  
Author(s):  
Chia-Hsiang Chang ◽  
Wei-Chen Liou ◽  
William W.Y. Hsu ◽  
Jen-Ying Shih ◽  
Chung-Su Wu ◽  
...  
Keyword(s):  
Credit Rating ◽  
Rating Systems
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