Econometric Models of Russian Banks Ratings

Student: Zhivaikina Aleksandra

Educational Programme: Economics and Statistics (Bachelor)

Final Grade: 10

Year of Graduation: 2016

The problem which is researched in this paper is to analyze how the key financial indicators of the bank influence the credit rating assignment provided by international and Russian rating agencies. The recurring problem was solved with the help of an ordered logistic model. Moreover, there are additionally considered such factors as a bank's type of ownership (state, foreign and private) and dummy varyable corresponding to the year of rating. The paper consists of 3 sections. The first part introduces the basic concepts of credit ratings and of the activities of rating agencies. In second part are described the data used for analysis and the model of multiple ordered choice. In third part are presented the results of estimation these models, theier predictive power and modal ratings for sample of banks.

Full text (added May 15, 2016)

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