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A multicriteria discrimination approach for the credit rating of Asian banks

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  • Fotios Pasiouras
  • Chrysovalantis Gaganis
  • Michael Doumpos

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  • Fotios Pasiouras & Chrysovalantis Gaganis & Michael Doumpos, 2007. "A multicriteria discrimination approach for the credit rating of Asian banks," Annals of Finance, Springer, vol. 3(3), pages 351-367, July.
    • Handle: RePEc:kap:annfin:v:3:y:2007:i:3:p:351-367
    DOI: 10.1007/s10436-006-0052-0
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    2. Fernandez, Ana I. & Gonzalez, Francisco, 2005. "How accounting and auditing systems can counteract risk-shifting of safety-nets in banking: Some international evidence," Journal of Financial Stability, Elsevier, vol. 1(4), pages 466-500, October.
    3. James R. Barth & Gerard Caprio Jr. & Ross Levine, 2002. "Financial Regulation and Performance: Cross-COuntry Evidence," Central Banking, Analysis, and Economic Policies Book Series, in: Leonardo Hernández & Klaus Schmidt-Hebbel & Norman Loayza (Series Editor) & Klaus Schmidt-Hebbel (Se (ed.),Banking, Financial Integration, and International Crises, edition 1, volume 3, chapter 4, pages 113-142, Central Bank of Chile.
    4. Demirguc-Kunt, Asli & Detragiache, Enrica, 2002. "Does deposit insurance increase banking system stability? An empirical investigation," Journal of Monetary Economics, Elsevier, vol. 49(7), pages 1373-1406, October.
    5. Rafael La Porta & Florencio Lopez‐De‐Silanes & Andrei Shleifer, 2002. "Government Ownership of Banks," Journal of Finance, American Finance Association, vol. 57(1), pages 265-301, February.
    6. Manzoni, Katiuscia, 2004. "Modeling Eurobond credit ratings and forecasting downgrade probability," International Review of Financial Analysis, Elsevier, vol. 13(3), pages 277-300.
    7. Konishi, Masaru & Yasuda, Yukihiro, 2004. "Factors affecting bank risk taking: Evidence from Japan," Journal of Banking & Finance, Elsevier, vol. 28(1), pages 215-232, January.
    8. Michael Doumpos & Fotios Pasiouras, 2005. "Developing and Testing Models for Replicating Credit Ratings: A Multicriteria Approach," Computational Economics, Springer;Society for Computational Economics, vol. 25(4), pages 327-341, June.
    9. Cordella, Tito & Yeyati, Eduardo Levy, 2002. "Financial opening, deposit insurance, and risk in a model of banking competition," European Economic Review, Elsevier, vol. 46(3), pages 471-485, March.
    10. Doumpos, Michael & Zopounidis, Constantin, 2001. "Assessing financial risks using a multicriteria sorting procedure: the case of country risk assessment," Omega, Elsevier, vol. 29(1), pages 97-109, February.
    11. Pinches, George E & Mingo, Kent A, 1973. "A Multivariate Analysis of Industrial Bond Ratings," Journal of Finance, American Finance Association, vol. 28(1), pages 1-18, March.
    12. Gonzalez, Francisco, 2005. "Bank regulation and risk-taking incentives: An international comparison of bank risk," Journal of Banking & Finance, Elsevier, vol. 29(5), pages 1153-1184, May.
    13. James R. Barth & Gerard Caprio Jr. & Ross Levine, 2001. "Banking Systems around the Globe: Do Regulation and Ownership Affect Performance and Stability?," NBER Chapters, in: Prudential Supervision: What Works and What Doesn't, pages 31-96, National Bureau of Economic Research, Inc.
    14. Barth, James R. & Caprio, Gerard Jr. & Levine, Ross, 2004. "Bank regulation and supervision: what works best?," Journal of Financial Intermediation, Elsevier, vol. 13(2), pages 205-248, April.
    15. Barniv, Ran & McDonald, James B, 1999. "Review of Categorical Models for Classification Issues in Accounting and Finance," Review of Quantitative Finance and Accounting, Springer, vol. 13(1), pages 39-62, July.
    16. Donald P. Morgan & Philip E. Strahan, 2004. "Foreign Bank Entry and Business Volatility: Evidence from U.S. States and Other Countries," Central Banking, Analysis, and Economic Policies Book Series, in: Luis Antonio Ahumada & J. Rodrigo Fuentes & Norman Loayza (Series Editor) & Klaus Schmidt-Hebbel (Se (ed.),Banking Market Structure and Monetary Policy, edition 1, volume 7, chapter 8, pages 241-270, Central Bank of Chile.
    17. Zopounidis, Constantin & Doumpos, Michael, 2002. "Multi-group discrimination using multi-criteria analysis: Illustrations from the field of finance," European Journal of Operational Research, Elsevier, vol. 139(2), pages 371-389, June.
    18. James R. Barth & Luis G. Dopico & Daniel E. Nolle & James A. Wilcox, 2002. "Bank Safety and Soundness and the Structure of Bank Supervision: A Cross‐Country Analysis," International Review of Finance, International Review of Finance Ltd., vol. 3(3‐4), pages 163-188, September.
    19. David C. Wheelock & Paul W. Wilson, 2000. "Why do Banks Disappear? The Determinants of U.S. Bank Failures and Acquisitions," The Review of Economics and Statistics, MIT Press, vol. 82(1), pages 127-138, February.
    20. WILLIAM HOPWOOD & JAMES McKEOWN & JANE MUTCHLER, 1988. "The sensitivity of financial distress prediction models to departures from normality," Contemporary Accounting Research, John Wiley & Sons, vol. 5(1), pages 284-298, September.
    21. Kaplan, Robert S & Urwitz, Gabriel, 1979. "Statistical Models of Bond Ratings: A Methodological Inquiry," The Journal of Business, University of Chicago Press, vol. 52(2), pages 231-261, April.
    22. Besanko, David & Thakor, Anjan V., 1992. "Banking deregulation: Allocational consequences of relaxing entry barriers," Journal of Banking & Finance, Elsevier, vol. 16(5), pages 909-932, September.
    23. Horrigan, Jo, 1966. "Determination Of Long-Term Credit Standing With Financial Ratios," Journal of Accounting Research, Wiley Blackwell, vol. 4, pages 44-62.
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    Citations

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    Cited by:

    1. Kimmel, Randall K. & Thornton, John H. & Bennett, Sara E., 2016. "Can statistics-based early warning systems detect problem banks before markets?," The North American Journal of Economics and Finance, Elsevier, vol. 37(C), pages 190-216.
    2. Patrick Roy, 2013. "Is There a Difference Between Solicited and Unsolicited Bank Ratings and, If So, Why?," Journal of Financial Services Research, Springer;Western Finance Association, vol. 44(1), pages 53-86, August.
    3. Fethi, Meryem Duygun & Pasiouras, Fotios, 2010. "Assessing bank efficiency and performance with operational research and artificial intelligence techniques: A survey," European Journal of Operational Research, Elsevier, vol. 204(2), pages 189-198, July.
    4. Li, Jing-Ping & Mirza, Nawazish & Rahat, Birjees & Xiong, Deping, 2020. "Machine learning and credit ratings prediction in the age of fourth industrial revolution," Technological Forecasting and Social Change, Elsevier, vol. 161(C).
    5. Isabelle Distinguin & Iftekhar Hasan & Amine Tarazi, 2013. "Predicting rating changes for banks: how accurate are accounting and stock market indicators?," Annals of Finance, Springer, vol. 9(3), pages 471-500, August.
    6. Demyanyk, Yuliya & Hasan, Iftekhar, 2010. "Financial crises and bank failures: A review of prediction methods," Omega, Elsevier, vol. 38(5), pages 315-324, October.
    7. Ron Triepels & Hennie Daniels & Ron Berndsen, 2021. "Monitoring Liquidity Management of Banks With Recurrent Neural Networks," Computational Economics, Springer;Society for Computational Economics, vol. 57(1), pages 89-112, January.
    8. Chrysovalantis Gaganis & Panagiota Papadimitri & Menelaos Tasiou, 2021. "A multicriteria decision support tool for modelling bank credit ratings," Annals of Operations Research, Springer, vol. 306(1), pages 27-56, November.
    9. Indranil SenGupta & William Nganje & Erik Hanson, 2021. "Refinements of Barndorff-Nielsen and Shephard Model: An Analysis of Crude Oil Price with Machine Learning," Annals of Data Science, Springer, vol. 8(1), pages 39-55, March.
    10. Demyanyk, Yuliya & Hasan, Iftekhar, 2010. "Financial crises and bank failures: A review of prediction methods," Omega, Elsevier, vol. 38(5), pages 315-324, October.
    11. repec:zbw:bofrdp:2009_035 is not listed on IDEAS
    12. Ioannidis, Christos & Pasiouras, Fotios & Zopounidis, Constantin, 2010. "Assessing bank soundness with classification techniques," Omega, Elsevier, vol. 38(5), pages 345-357, October.
    13. Demyanyk, Yuliya & Hasan, Iftekhar, 2009. "Financial crises and bank failures: a review of prediction methods," Bank of Finland Research Discussion Papers 35/2009, Bank of Finland.

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    More about this item

    Keywords

    Asia; Banks; Credit ratings; Fitch; Multi-criteria; C63; G21;
    All these keywords.

    JEL classification:

    • C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages

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