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Author
Chodnicka-Jaworska Patrycja (Uniwersytet Warszawski)
Title
Rating kredytowy emitenta i inwestora - porównanie wpływu determinant
Issuer- and Investor-Paid Credit Ratings - a Comparison of Factors
Source
Problemy Zarządzania, 2017, vol. 15, nr 1 (66), cz. 2, s. 64-78, tab., bibliogr. 19 poz.
Issue title
Zarządzanie ryzykiem instytucji finansowych
Keyword
Agencje ratingowe, Ocena zdolności kredytowej, Rating, Analiza porównawcza, Wyniki badań
Rating agency, Credit rating, Rating, Comparative analysis, Research results
Note
JEL Classification: G20, G21, G24
summ., streszcz.
Abstract
Celem pracy jest analiza determinant ratingu kredytowego banków krajów europejskich. Dokonano przeglądu literaturowego na temat wpływu czynników na rating kredytowy i postawiono hipotezę, że siła oddziaływania poszczególnych determinant na credit rating banku jest uzależniona od tego, czy został on nadany na żądanie emitenta czy inwestora. Do analizy wykorzystano dane z bazy Thomson Reuters. Badanie przeprowadzono przy użyciu metod regresji panelowej. Jako zmienną zależną zastosowano długoterminowe ratingi kredytowe banków prezentowane przez agencje ratingowe w latach 2000-2015. Ratingi zdekodowano liniowo na zmienne liczbowe. Badanie wykonano na danych kwartalnych. (abstrakt oryginalny)

The aim of the paper is to analyse European banks' credit ratings factors. To this end, a literature review has been made about the impact of credit ratings factors and the following hypothesis has been put forward: The strength of the banks' credit ratings factors depends on the issuer- and investor-paid notes. Thomson Reuters database has been used for the analysis. The analysis has been made by using panel data models. As a dependent variable, long-term credit ratings presented by credit rating agencies from 2000 to 2015 have been used. Credit ratings have been decomposed linearly. The study has been made using quarterly data. (original abstract)
Accessibility
The Main Library of the Cracow University of Economics
The Library of University of Economics in Katowice
The Main Library of Poznań University of Economics and Business
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Bibliography
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ISSN
1644-9584
Language
pol
URI / DOI
http://dx.doi.org/10.7172/1644-9584.66.4
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