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- W3122246502 abstract "Purpose -- This study presents an empirical model designed to forecast bank credit ratings using only quantitative and publicly available information from their financial statements. For this reason we use the long term ratings provided by Fitch in 2012. Our sample consists of 92 U.S. banks and publicly available information in annual frequency from their financial statements from 2008 to 2011. Methodology -- First, in the effort to select the most informative regressors from a long list of financial variables and ratios we use stepwise least squares and select several alternative sets of variables. Then these sets of variables are used in an ordered probit regression setting to forecast the long term credit ratings. Findings -- Under this scheme, the forecasting accuracy of our best model reaches 83.70% when 9 explanatory variables are used. Originality/value -- The results indicate that bank credit ratings largely rely on historical data making them respond sluggishly and after any financial problems are already known to the public." @default.
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- W3122246502 date "2014-01-01" @default.
- W3122246502 modified "2023-09-23" @default.
- W3122246502 title "Forecasting Bank Credit Ratings" @default.
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- W3122246502 doi "https://doi.org/10.2139/ssrn.2395798" @default.
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