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Title: A panel ordered response model for banks credit ratings estimation Authors:  Patrycja Chodnicka - Jaworska - University of Warsaw (Poland) [presenting]
Abstract: The basic goal is to analyse factors influencing the European banks credit ratings. It has been put a following research question: Are recognizable and smaller credit rating agencies use the same factors for estimation banks default risk? Two hypotheses are proposed: Countries credit ratings have a significant influence on banks credit ratings estimation process; The banks capital adequacy, profitability, liquidity and management quality have the significant influence on the banks credit ratings. For estimation the mentioned hypotheses there were used ordered logit panel data models. The analysis has been prepared by using the quarterly data form the Thomson Reuters database for 1998 to 2015 period of time. As dependent variables are used the European banks long term issuer credit ratings proposed by smaller and bigger credit rating agencies. The sample has been divided into subsamples according to the type of credit rating and the size of credit rating agency.