Title: Nonlinear decomposition banks credit ratings
Authors: Patrycja Chodnicka - Jaworska - University of Warsaw (Poland) [presenting]
Abstract: The purpose is to analyze the impact of the business cycle using non-linear decomposition of credit ratings on banks notes. A literature review was made and the following research hypothesis has been put: The banks credit ratings are pro-cyclical. There were used ordered logit panel data models, and as a dependent variable there were taken the long-term issuer credit ratings published by the three largest rating agencies, Fitch, S\&P and Moody. There have been collected data from the Thomson Reuters Database. The analysis was based on decomposition method that uses CDS spreads. The data were collected for the years 1990 - 2016. As an independent variables there have been used CAMEL factors. Data was obtained from the World Bank and Thomson Retuters database.