Credit rating dynamics and competition

A simple mathematical programming model for countries' credit ranking problem

“…In fact, researchers in some fields such as economics, operations researchers, financial management, and statisticians propose valuable approaches to rate countries (Mirzaei & Vizvari, 2011). Up to now, many mathematical-based approaches are suggested by researchers (see Hirth, 2014;Seitz & La Torre, 2014;Zopounidis & Doumpos, 2000;Zopounnidis & Doumpos, 2002), whereas some scholars proposed using probabilistic and stochastic methods (Aouni, Colapinto, & La Torre, 2014;Gonzalez & Hinojosa, 2010;Hu, Kiesel, & Perraudin, 2002;Kuma & Rao, 2015;Pantelous, 2008). Up to now, many mathematical-based approaches are suggested by researchers (see Hirth, 2014;Seitz & La Torre, 2014;Zopounidis & Doumpos, 2000;Zopounnidis & Doumpos, 2002), whereas some scholars proposed using probabilistic and stochastic methods (Aouni, Colapinto, & La Torre, 2014;Gonzalez & Hinojosa, 2010;Hu, Kiesel, & Perraudin, 2002;Kuma & Rao, 2015;Pantelous, 2008).…”

“…Moreover, there are evidences indicating that the credit rating agencies often disagree about credit quality, and they rate same countries with one or two notches on the finer scale (Hill, Brooks, & Faff, 2010). Up to now, many mathematical-based approaches are suggested by researchers (see Hirth, 2014;Seitz & La Torre, 2014;Zopounidis & Doumpos, 2000;Zopounnidis & Doumpos, 2002), whereas some scholars proposed using probabilistic and stochastic methods (Aouni, Colapinto, & La Torre, 2014;Gonzalez & Hinojosa, 2010;Hu, Kiesel, & Perraudin, 2002;Kuma & Rao, 2015;Pantelous, 2008). Also, some other researchers (see Afonso, 2003;Cantor & Packer, 1996;Galindo & Tamayo, 2000;Hammer, Kogan, & Lejeune, 2011;Monfort & Mulder, 2000) tried to utilize different methods to assess the financial risk levels and countries credit ranking.…”

Use of Binary Dependent Variables for Modelling Borrowers’ Creditworthiness

“…Therefore, improving techniques for objective evaluation of the creditworthiness of borrowerslegal entities are particularly relevant in the instable economy of the country. In this context, the aim of the study is to construct an econometric model of borrowers creditworthiness using binary dependent variable (Y takes the value of one if the loan was issued, and a value of zero in case of rejection) (Wooldridge, 2013;Kupriyanov, Borzenkova, & Sergeevna, 2013;Hirth, 2014) and forecasting lender's loan approval. The practical significance of the study is the possibility of using the developed model by commercial banks in order to enhance the validity of credit decisions.…”

O uso de derivativos para hedge melhora os ratings de crédito das empresas brasileiras?

“…Em outra abordagem, Hirth (2014) analisou o comportamento das agências de classificação de riscos e a reação dos investidores. O estudo foi desenvolvido com a utilização da teoria dos jogos evolucionários.…”

“…O estudo foi desenvolvido com a utilização da teoria dos jogos evolucionários. De maneira sumarizada, a modelagem desenvolvida por Hirth (2014) considera dois comportamentos para as agências de ratings: emitir ratings honestos ou emitir ratings inflacionados. Em contraponto, os investidores reagiriam: confiando na avaliação da agência (trusting investors) ou certificando-se sobre a avaliação de risco emitida pela agência a partir de uma análise de riscos (sophisticated investors).…”