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INFORMATION VALUE OF THE CREDIT RATING ON THE CREDIT DEFAULT SWAPS MARKET

100%
Chodnicka-Jaworska P.
Metody Ilościowe w Badaniach Ekonomicznych
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2017
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vol. 18
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issue 3
418-428
EN
The paper examines the impact of the countries’credit ratings changes on the cost of credit defaults swaps premium. It is assumed statistical significance abnormal returns due to changes in credit ratings assigned by the agencies. It is has been put the hipothesis that ratings events convey new information and lead to significant abnormal reactions. The study used the ratings assigned by Standard &Poor's and Moody's for the period from January 2005 to November 2015 and spreads for five-year senior unsecured CDS. To verify the hypothesis the event study method (by daily data) is applied.
2
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Kondycja finansowa sektora bankowego jako determinanta ratingów kredytowych banków

100%
Chodnicka-Jaworska P.
Optimum. Studia Ekonomiczne
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2016
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vol. 6(84)
PL
Celem artykułu jest analiza wpływu kondycji sektora bankowego na ratingi kredytowe banków. W pracy dokonano przeglądu literaturowego i porównano metodologie stosowane przez Standard&Poor’s (S&P) oraz Moody’s. Na tej podstawie postawiono hipotezę, iż rozwinięty, stabilny i efektywny sektor bankowy pozytywnie oddziałuje na credit rating nadawany poszczególnym bankom. Dane pozyskano z baz Thomson Reuters oraz Banku Światowego. Jako zmienną zależną wykorzystano długoterminowe ratingi kredytowe nadawane bankom przez S&P i Moody’s. Analizę wykonano na danych rocznych dla lat 2005-2015. W badaniach posłużono się modelem regresji panelowej.
EN
The aim of the paper is to analyse the impact of the financial condition of the banking sector on bank credit ratings. The research involves a literature review and a comparison of the methodologies used by S&P and Moody’s. On this basis, a hypothesis is proposed that a developed, stable and efficient banking sector has a positive effect on credit ratings assigned to individual banks. The data used in the study have been collected from the Thomson Reuters and the World Bank. Long-term issuer credit ratings assigned by S&P and Moody's are used as the dependent variable. The analysis is performed on annual data for the years 2005-2015. The study uses panel data models.
3
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Forma własności banku a credit rating

100%
Chodnicka-Jaworska P.
Bezpieczny Bank
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2017
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issue 2 (67)
52-74
PL
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.
EN
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.
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Wpływ credit ratingu inwestorów na rating banków europejskich

100%
Chodnicka-Jaworska P.
Bezpieczny Bank
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2017
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issue 3 (68)
39-58
PL
Celem pracy stało się zbadanie wpływu determinant finansowych, w tym wpływu credit ratingu inwestorów, na credit ratingi banków. Dokonano przeglądu literaturowego i na jego podstawie postawiono następującą hipotezę: credit rating banków uzależniony jest od kondycji finansowej ocenianego podmiotu oraz credit ratingu głównych inwestorów. Do zweryfikowania postawionej hipotezy badawczej wykorzystano uporządkowane logitowe modele panelowe. Badanie przeprowadzono na bankach europejskich, które miały nadany rating długoterminowy przez trzy największe agencje, tj. Fitch, Moody i S&P. Do analizy wykorzystano dane kwartalne dla lat 1998–2016. Okazało się, że credit rating banku determinowany jest przede wszystkim wskaźnikami adekwatności kapitałowej i jakości aktywów. Istotny statystycznie wpływ wywiera credit rating kraju, w jakim dany bank funkcjonuje. Credit rating banku determinowany jest obecnością rządu jako jednego z inwestorów (rating Moody ulega obniżce, podczas gdy S&P się poprawia) oraz ratingiem akcjonariuszy.
EN
The aim of the study is to examine the impact of financial determinants, including the impact of the investors credit ratings, on banks credit ratings. Having made a literature review and the following hypothesis has been put: The bank’s credit rating depends on the financial condition of the rated entity and the credit ratings of the major investors. The logit panel data models were used to verify the hypothesis. The study was conducted at European banks, which have received the long-term ratings by the three largest agencies, Fitch, Moody, and S&P. The analysis used the quarterly data for the years 1998–2016. It turned out that the bank’s credit rating was determined by capital adequacy ratios and asset quality. The credit rating of the country, where the bank operates, is significant. The bank’s credit rating is determined by the presence of the government as one of investors (Moody’s rating downgrades while S&P is improving) and shareholder.
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Banks’ Credit Ratings Inflation

100%
Chodnicka-Jaworska P.
Olsztyn Economic Journal
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2017
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vol. 12
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issue 1
99-114
EN
The aim of the paper is to verify the significance of the credit ratings’ inflation phenomenon of banks’ notes. First, a literature review was prepared. The following hypotheses were then put: Banks’ credit rating inflation has been observed. There are differences between the impact of the financial factors on banks’ credit ratings between notes that are given by one or more credit rating agencies to the same entity. The analysis was prepared by using probit panel data models. Data has been collected from the Thomson Reuters database. Long term issuer credit ratings proposed by S&P, Fitch and Moody were used as a dependent variable. As independent factors the financial indicators and macroeconomic variables were measured. The comparison of notes given by credit rating agencies suggests that notes that are given by all CRAs are similar. The same results were received when the notes given by two agencies were compared. Differences are observed only in the case of ratings given by one institution. If a CRA is bigger, notes proposed by them are higher. A list of variables that are taken by a particular credit rating agency can be created regardless of whether the evaluation is one or more CRAs. The strength of impact of the described factors is differentiated.
6
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MACROECONOMIC ASPECTS OF BANKS’ CREDIT RATINGS

100%
Chodnicka-Jaworska P.
Equilibrium. Quarterly Journal of Economics and Economic Policy
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2017
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vol. 12
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issue 1
101-120
EN
Research background: The practical analysis suggests that credit ratings are especially significant for banks. The literature review suggests that in previous analysis researchers usually took into consideration financial factors of the banks’ credit ratings methodology. This article analyses the impact of macroeconomic factors on the banks’ credit ratings. Purpose of the article: The paper examines and analyses the impact of the macroeconomic risk factors on the credit ratings received by banks. In the article, the methodology of credit risk assessment proposed by Moody’s Investor Service and Standard & Poor’s Financial Service is presented. Two hypotheses are put herein. The first one is: Changes in countries’ credit ratings convey new information and influence on banks’ financial condition. The second hypothesis is: A highly-developed, stable economy with an advanced financial market has a positive influence on banks’ credit rating assessment. Methods: The study used banks’ and countries’ ratings assigned by Standard & Poor's and Moody's for the period from 1 January 2005 to 1 January 2016. To verify the hypotheses static panel data models have been applied. Findings & Value added: In credit rating agencies guidelines and previous research, the impact of countries’ credit ratings on those received by banks is not indicated. The impact of macroeconomic factors has not been verified. The analysis confirms that changes in countries’ credit ratings convey new information and influence the banks’ environment condition. But only for the assessment given by S&P the condition of banking sector is an important group of factors. For all verified types of credit ratings the risk of country is presented by countries’ credit rating, not by particular factors. These analyses suggest that during the risk estimation process prepared by banks, a country’s risk represented by its credit ratings should be taken into consideration more often than particular macroeconomic factors.
7
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Competitiveness and concentration of the banking sector as a measure of banks’ credit ratings

100%
Chodnicka-Jaworska P.
Prace Naukowe Uniwersytetu Ekonomicznego we Wrocławiu
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2018
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issue 519
26-39
EN
The aim of the paper is to verify the impact of the competitiveness of the banking sector and concentration on banks’ credit ratings. A literature review was carried out and as a result the following hypothesis was put forward: the bigger the banks from the countries where the banking sector is more concentrated and more competitive, the higher the banks’ credit ratings. The analysis was conducted using ordered panel data models on banks’ credit ratings with the use of quarterly data on a European banks’ sample. Long-term issuer credit ratings given to banks by the three largest credit rating agencies were used as a dependent variable.
8
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The issuer and investor credit ratings – the impact on the stock prices

100%
Chodnicka-Jaworska P.
Prace Naukowe Uniwersytetu Ekonomicznego we Wrocławiu
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2018
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issue 519
40-52
EN
The basic goal of the article is to analyse the impact of credit rating changes on the rates of return on banks’ shares, considering the entity that asked for assigning a credit rating. The following hypotheses are proposed: banks’ share prices react stronger to the investor-paid credit rating changes. the strongest impact of the banks’ credit rating changes is observed for a downgrade, for both the issuer and the investor credit ratings, while a stronger significant reaction is observed after the moment of publication. The analysis was prepared on the Thomson Reuters Database. The analysis was carried out on data from the years 1980 to 2015, for banks from the European countries, by using event study methods.
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Rating kredytowy emitenta i inwestora – porównanie wpływu determinant

100%
Chodnicka-Jaworska P.
Problemy Zarządzania
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2017
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issue 1/2017 (66), t.2
64 – 78
PL
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.
EN
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.
10
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Sensitivity of the Central and Eastern European Stock Market to Credit Rating Changes

100%
Chodnicka-Jaworska P.
Problemy Zarządzania
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2018
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issue 2/2018 (74)
46-61
EN
The aim of the paper is to verify the influence of credit rating changes on the rates of return on shares taking into account the size of the credit rating agency. A review of literature about the mentioned relationship by type of sector has been prepared. The following hypothesis is proposed: The banks’ share prices show a weaker reaction to credit rating changes than the entities outside the banking sector. The strongest impact of credit rating changes is observed for a downgrade. This hypothesis has been verified by using event study methods on data collected from Thomson Reuters Database through the years 1980 to 2015. The unobserved variables are long term issuer credit ratings given to banks and institutions outside the financial institutions. Rates of return on shares are used as observed variables.
PL
Celem artykułu jest weryfikacja wpływu zmian credit ratingu na stopy zwrotu z akcji z uwzględnieniem wielkości agencji ratingowej. Przygotowano przegląd literatury na temat wspomnianych zależności przy uwzględnieniu rodzaju sektora. Zaproponowano następującą hipotezę badawczą: ceny akcji banków słabiej reagują na zmiany credit ratingów niż podmioty spoza sektora bankowego. Najsilniejszy wpływ zmian ratingu obserwuje się w przypadku jego obniżenia. Weryfikacja tej hipotezy została przeprowadzona za pomocą metod badania zdarzeń na danych zebranych z Thomson Reuters Database dla lat 1980–2015. Nieobserwowane zmienne to długoterminowe credit ratingi emitenta nadane bankom i podmiotom niebędącym instytucjami finansowymi. Jako zmienne zależne stosuje się stopy zwrotu z akcji.
11
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Zjawisko inflacji credit ratingów – czy występują różnice w determinantach credit ratingów?

100%
Chodnicka-Jaworska P.
Studia i Materiały
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2016
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issue 2/2016 (22), cz.2
48-59
PL
Celem pracy stało się zweryfikowanie różnic w estymacji czynników wpływających na credit rating banków nadawanych tym samym podmiotom przez dwie agencje ratingowe. Dokonano przeglądu literaturowego na temat zjawiska inflacji credit ratingów oraz zakupu not przez emitentów. Postawiono następujące hipotezy badawcze: 1) Credit rating banków nadawany przez dwie agencje ratingowe determinowany jest istotnością statystyczną różnych wskaźników finansowych banków. 2) Im większa agencja ratingowa, tym bardziej optymistyczne oceny. Do badania zebrano dane dotyczące credit ratingów banków oraz wskaźników finansowych dla lat 1998–2015 w ujęciu kwartalnym i porównano wyniki dla poszczególnych grup agencji ratingowych. Próbę podzielono na trzy podpróby, mianowicie na noty nadawane jednocześnie przez S&P i Moody, S&P i Fitch oraz Moody i Fitch. Do badania wykorzystano uogólnione modele panelowe.
EN
The aim of the paper was to verify the differences in the estimation of the factors affecting the banks’ credit ratings given the same issuers by two different rating agencies. The literature about the credit ratings’ inflation phenomenon and the credit ratings shopping has been reviewed. The following hypotheses have been put forward: Banks’ credit ratings assigned by the two rating agencies determined the significance of various financial ratios. The bigger the rating agency, the more optimistic assessment. For the purposes of the study, data have been collected on banks’ credit ratings and their financial indicators for the years 1998–2015 on a quarterly basis and results have been compared for individual groups of credit rating agencies. The sample has been divided into three sub-samples, namely notes broadcast simultaneously by S&P and Moody, S&P and Fitch, and Moody and Fitch. In the study, the ordinary probit panel data models have been used.
12
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CAMEL – ocena ryzyka w estymacji ratingów banków europejskich

100%
Chodnicka-Jaworska P.
Studia Ekonomiczne
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2017
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vol. 339
7-16
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.
13
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Wpływ zmian credit ratingów na rynek CDS-ów w krajach europejskich - analiza zdarzeń

100%
Chodnicka-Jaworska P.
Studia Ekonomiczne
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2016
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vol. 301
7-24
PL
W artykule zbadano i przeanalizowano wpływ zmian credit ratingów nadawanych krajom europejskim na koszt premii swapów ryzyka kredytowego (CDS-ów). Założono istotność statystyczną ponadnormalnych stóp zwrotu w wyniku zmian ocen ratingowych nadawanych przez agencje. Postawiono hipotezę, że zmiany ratingów dostarczają nowych informacji, co prowadzi do uzyskiwania istotnych ponadnormalnych stóp zwrotu. Do badania wykorzystano ratingi nadawane przez Standard & Poor’s i Moody’s dla okresu od 1 stycznia 2005 r. do 1 listopada 2015 r. oraz spready pięcioletnich niezabezpieczonych CDS-ów. Do zweryfikowania postawionej hipotezy zastosowano metodę analizy zdarzeń przy użyciu danych dziennych.
EN
The paper examines and analyses the impact of the credit ratings changes of the European countries on the cost of credit default swaps premium. It is assumed statistical significance abnormal returns due to changes in credit ratings assigned by the agencies. It is hypothesized that ratings events convey new information and lead to significant abnormal reactions. The study used the ratings assigned by Standard & Poor's and Moody's for the period from 1 January 2005 to 1 November 2015 and spreads for fiveyear senior unsecured CDS. To verify the hypothesis it is applied the event study method by using daily data.
14
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Credit rating a ryzyko kredytowe emitenta

63%
Chodnicka-Jaworska P., Jaworski P.
Kwartalnik Kolegium Ekonomiczno-Społecznego Studia i Prace
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2018
|
issue 2
171-182
EN
The purpose of this paper is to analyse the impact of country's credit rating on issuers' credit risk measured by the difference between bond yields and IRS spreads. Based on literature review, the following hypothesis has been proposed: the decrease and increase of credit ratings have a statistically significant impact on the issuers' credit risk. The study was conducted using event study methodology, Thomson Reuters Database data for the period 1990-2016 and S&P, Fitch and Moody foreign long-term issuer credit ratings. Ten-year treasury bonds and IRS spreads were used to verify the hypothesis.
15
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Wpływ decyzji agencji ratingowych na ceny akcji polskich spółek giełdowych

63%
Chodnicka-Jaworska P., Jaworski P.
Studia Ekonomiczne
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2017
|
vol. 311
125-134
PL
Celem artykułu jest analiza i ocena wpływu decyzji agencji ratingowych na ceny akcji polskich spółek giełdowych. Dokonano przeglądu literaturowego analizowanego zjawiska. Postawiono hipotezy badawcze: Ceny akcji polskich spółek giełdowych reagują na obniżkę i podwyżkę not ratingowych. Stopy zwrotu z cen akcji są wrażliwe na zmiany nastawienia. Badanie wykonano na danych dziennych dla lat 2000-2015 przy wykorzystaniu metody event study. Jako zmienną zależną wykorzystano długoterminowe noty ratingowe emitenta.
EN
The aim of the article was to analyze the impact of credit rating agencies’ decisions on stock prices of Polish listed companies. It has been prepared the literature review of the analyzed phenomenon. There have been put the hypotheses: The stock prices of the Polish listed companies react on the downgrades and upgrades of credit ratings. The rates of return of share prices are sensitive on countries’ credit rating changes. The research has been made on daily data for 2000-2015 period of time by using the event study methodology. As a dependent variable there have been used long- -term issuer credit ratings.
16
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Bank-specific determinants of sensitivity of loan-loss provisions to business cycle

51%
Olszak M., Chodnicka-Jaworska P., Kowalska I., Świtała F.
Faculty of Management Working Paper Series
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2016
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issue WPS 3/2016
1-43
EN
In this paper we explore several new factors which may affect the procyclicality of loan-loss provisions. In particular, we test whether there are visible differences in sensitivity of loan-loss provisions to the business cycle between commercial and cooperative banks as well as between large, medium and small banks. We also aim to find out whether the level of bank capital ratio and the application of discretionary income-smoothing affect procyclicality of loan-loss provisions. Our results show that loan-loss provisions of banks are procyclical. This procyclicality is particularly visible and stronger in the sample of commercial banks. We also find that loan-loss provisions of large banks are more negatively affected by the business cycle than those of medium or small banks. We show that banks with low capital ratios exhibit increased procyclicality of loan-loss provisions. And finally, we also find empirical evidence that banks with a greater degree of discretionary income-smoothing have loan-loss provisions more negatively affected by the business cycle, and thus more procyclical.
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