Credit Ratings and Bank Monitoring Ability
Credit Ratings and Bank Monitoring Ability
复制标题
信用评级和银行监控能力
DOI：
10.2139/ssrn.2269213
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发表时间：
2010
期刊：
影响因子：
--
通讯作者：
Kasper Roszbach
中科院分区：
文献类型：
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作者：
Leonard I. Nakamura;Kasper Roszbach
在本文中，我们使用的信用评级数据，从两家瑞典银行，以得出这些银行的贷款监控能力的证据。我们这样做是通过比较银行评级预测贷款违约的能力相对于瑞典信用局的公共评级。我们测试了银行预测信用局评级的能力，反之亦然。我们表明，其中一家银行有一个上级预测能力相对于信用局。这证明银行信用评级确实包含有价值的私人信息，并表明它们可能是风险管理的合理基础。然而，公众评级也被发现对未来的银行评级具有预测能力，这表明风险分析应该基于公众和银行评级。我们使用的方法代表了一篮子新的简单技术，使金融机构和监管机构能够评估信用评级系统的性能。
In this paper we use credit rating data from two Swedish banks to elicit evidence on these banks’ loan monitoring ability. We do so by comparing the ability of bank ratings to predict loan defaults relative to that of public ratings from the Swedish credit bureau. We test the banks’ abilility to forecast the credit bureau’s ratings and vice versa. We show that one of the banks has a superior predictive ability relative to the credit bureau. This is evidence that bank credit ratings do contain valuable private information and suggests they may be be a reasonable basis for risk management. However, public ratings are also found to have predictive ability for future bank ratings, indicating that risk analysis should be based on both public and bank ratings. The methods we use represent a new basket of straightforward techniques that enable both financial institutions and regulators to assess the performance of credit ratings systems.