PL EN


2017 | 339 | 7-16
Article title

CAMEL – ocena ryzyka w estymacji ratingów banków europejskich

Content
Title variants
EN
CAMEL – estimation method European banks’ credit ratings
Languages of publication
PL
Abstracts
PL
Celem artykułu jest analiza istotności wpływu determinant CAMEL w procesie nadawania noty ratingowej bankom. W związku z tym dokonano przeglądu literatury i na tej podstawie postawiono następującą hipotezę badawczą: czynniki CAMEL wpływają w sposób istotny statystycznie na credit rating banków europejskich. Do badania wykorzystano długoterminowe noty ratingowe nadawane bankom europejskim na koniec kwartału przez trzy największe agencje ratingowe. Jako zmienne niezależne zastosowano wskaźniki finansowe oraz zmienne makroekonomiczne zgromadzone z baz Thomson Reuters oraz Banku Światowego. W badaniu zastosowano modele panelowe.
EN
The goal of the article is to analyse the statistically significance of the impact of CAMEL factors on the banks’ credit ratings method. As a result it has been made a literature review and put hypothesis seems as follows: CAMEL factors influence statistically significantly on European banks’ credit ratings. In the research, there have been used the long term issuer credit ratings given European banks at the end of the quarterly by the biggest three credit rating agencies. As independent variables, there have been taken financial indicators and macroeconomic variables collected from the Thomson Reuters and World Bank databases. In the research, there have been proposed panel data models.
Year
Volume
339
Pages
7-16
Physical description
Contributors
  • Uniwersytet Warszawski. Wydział Zarządzania. Katedra Systemów Finansowych Gospodarki
References
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Document Type
Publication order reference
Identifiers
ISSN
2083-8611
YADDA identifier
bwmeta1.element.cejsh-c7edf845-bdec-4eea-bf60-6128adf3dce1
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