What Are the Main Determinants of Banks‘ Ratings Across CEE Countries?
|Author:||Mgr. Kryštof Wolf|
|Year:||2015 - summer|
|Leaders:|| PhDr. Jakub Seidler Ph.D.
|Work type:|| Finance, Financial Markets and Banking
|Awards and prizes:|
|Abstract:||This thesis uses data of more than 180 banks from CEE region to identify the main determinants of
long term credit ratings assigned to these banks in period between 2010 - 2012. This is done by
employing two frequently used classification methods - Multiple Discriminant Analysis and Ordered
Logit Model. The main contribution lies in including explanatory variables from various areas which
have impact on financial health of examined banks. Apart from standard spheres of banks'
performance such as capital adequacy, asset quality or profitability we investigate relevance of
macroeconomic and qualitative factors as well. Although our results suggest that all mentioned areas
are relevant for credit risk and hence rating assignment process the bank specific variables, both
quantitative and qualitative, still play the key role.