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Article

О подходах к сопоставлению рейтинговых шкал

Прикладная эконометрика. 2011. Т. 23. № 3. С. 13-40.
Айвазян С. А., Головань С. В., Карминский А. М., Пересецкий А. А.

In the paper an econometric method of rating scales mapping is suggested. The method is based on the setting up ordered choice models for the ratings and mapping the correspondent latent variables («continuous ratings») with a monotone function. The method takes into account bank's financial indicators and other factors which rating agency's experts use in their work. The method is tested on the real data on Russian banks' ratings and their quarterly balance sheet data for the period 2006:1-2010:4.