2017 | 2 (67) | 52-74
Article title

Forma własności banku a credit rating

Title variants
Banks ownership and credit ratings
Languages of publication
Celem artykułu jest analiza determinant długoterminowych ratingów kredytowych europejskich banków komercyjnych według kryterium własności. Na podstawie badań literaturowych postawiono hipotezę: biorąc pod uwagę uwarunkowania finansowe banki publiczne otrzymują wyższe ratingi kredytowe niż prywatne instytucje. Do badania wykorzystano uogólnione panelowe modele logitowe. Badanie wpływu formy własności na credit rating banku wykazało, że postawiona hipoteza nie może być jednoznacznie zweryfikowana. Banki publiczne otrzymują wyższe ratingi niż prywatne instytucje, biorąc pod uwagę uwarunkowania finansowe, tylko w przypadku not nadanych przez S&P. Fitch i Moody natomiast obniżały ratingi bankom, których inwestorem był Skarb Państwa. Mogło to być wynikiem dokapitalizowywania instytucji finansowych przez państwo dla uchronienia ich przed ryzykiem upadłości, ale taka interpretacja wymaga pogłębionych badań.
The aim of the paper is the analysis of determinants of long-term credit ratings of European commercial banks according to ownership criteria. On the basis of the literature review the following hypothesis has been expressed: taking into account the financial condition the public banks receive higher credit ratings than private institutions. The ordinary logit panel data models have been used for the study. Examination of the impact of ownership on the bank’s credit rating showed that the put hypothesis cannot be uniquely verified. Public banks receive higher ratings than private institutions taking into account financial conditions, only for S & P notices. Whereas Fitch and Moody lowered their ratings to banks whose investor was the Treasury. This could have been the result of a recapitalization of financial institutions by the state to protect them against the risk of bankruptcy, however such an interpretation requires in-depth research.
Physical description
  • Katedra Systemów Finansowych Gospodarki, Wydział Zarządzania, Uniwersytet Warszawski
  • Bar-Issac H., Shapiro J., Credit Ratings Accuracy and Analyst Incentives, „American Economic Review” 2011, 101(3).
  • ar-Issac H., Shapiro J., Ratings Quality over the Business Cycle. Working Paper Stern NYC, 2012.
  • Beltratti A., Stulz R.M., Why Did Some Banks Perform Better During the Credit Crisis? A Cross-country Study of the Impact of Governance and Regulation, „Journal of Financial Economics” 2012, 105(1).
  • Bellotti T., Matousek R., Stewart C., A note comparing support vector machines and ordered choice models’ predictions of international banks’ rating, „Decision Support Systems” 2011, 51(3), June.
  • Bellotti T., Matousek R., Stewart C., Are rating agencies’ assignments opaque? Evidence from international banks, „Expert Systems with Applications” 2011, 38(4), April.
  • Brezigar-Masten A., Masten I., Discretionary Credit Rating and Bank Stability in a Financial Crisis, „Journal Eastern European Economic” 2015, 53(5).
  • Bissoondoyal-Bheenick E., An analysis of the determinants of sovereign ratings, „Global Finance Journal” 2005, 15.
  • Bissoondoyal-Bheenick E., Treepongkaruna S., An analysis of the determinants of bank ratings: comparison across ratings agencies, „Australian Journal of Management” 2011, 36(3).
  • Chodnicka-Jaworska P., Banks credit ratings – is the size of the credit rating agency important?, 2016.
  • Chodnicka-Jaworska P., Zjawisko inflacji credit ratingów – czy występują różnice w determinantach credit ratingów?, „Studia i Materiały” 2016.
  • Chodnicka-Jaworska P., Zarządzanie agencjami ratingowymi – zmodyfikowany model emitent płaci, „Folia Oeconomica” (w druku).
  • Cole R.A., White L.J., Déjà Vu all over again: The causes of U.S. commercial bank failures this time around, „Journal of Financial Services Research” 2012, 42.
  • Cornaggia J., Cornaggia K.J., Why are Credit Ratings Useful?, Working paper 2010.
  • English W.B., Nelson W.R., Bank Risk Rating of Business Loan, Federal Reserve System Working Paper 1998.
  • Ferri G., Liu L.G., Stiglitz J.E., Are Credit Ratings Pro-cyclical? Evidence from East Asian Countries, „Economic Notes” 1999, 28(3).
  • Grunert J., Norden L., Weber M., The role of non-financial factors in internal credit ratings, „Journal of Banking and Finance” 2005, 29(2).
  • Hassan O.A.G., Barrell R., Accounting for the determinants of banks’ credit ratings, Brunel University of London Economics and Finance Working Paper Series 2013.
  • Hau H., Langfield S., Marques-Ibanez D., Bank ratings what determines their quality?, EBC Working Paper Series 1484, October 2012.
  • Karminsky A.M., Khromova E., Extended Modeling of Banks’ Credit Ratings, „Procedia Computer Science” 2016, 91.
  • Kedia S., Rajgopal S., Zhou X., Does it matter who owns Moody’s?, Columbia Working Paper 2015.
  • Nakamura L.I., Roszbach K., Credit Ratings, Private Information, and Bank Monitoring Ability, Working paper 2016.
  • Ögüt H., DogÜanay M.M., Ceylan N.B., Aktaą R., Prediction of bank financial strength ratings: The case of Turkey, „Economic Modelling” 2012, 29.
  • Pagratis S., Stringa M., Modelling bank credit ratings: A structural approach to Moody’s credit risk assessment, Working paper 2007.
  • Poon W.P.H., Firth M., Fung H., A multivariate analysis of the determinants of Moody’s bank financial strength ratings, „Journal of International Financial Markets, Institutions and Money” 1999, 9(3).
  • Poon W., Lee J., Gup B.E., Do solicitations matter in bank credit ratings? Results from a study of 72 countries, „Journal of Money, Credit and Banking” 2009, 41.
  • Shen C., Huang Y., Hasan I., Asymmetric benchmarking in bank credit rating, „Journal of International Financial Markets, Institutions & Money” 2012, 22.
  • Treacy W.F., Carey M., Credit risk rating systems at large US banks, „Journal of Banking & Finance” 2000, 24.
Document Type
Publication order reference
YADDA identifier
JavaScript is turned off in your web browser. Turn it on to take full advantage of this site, then refresh the page.