?
Aggregation of Rating Systems for Emerging Financial Markets
.
This paper examines the issues of the aggregation and comparison of the credit ratings of various economic agents for risk management purposes in a commercial bank. The empirical results of the study make it possible to increase the assessment of credit risks based on the constructed system of aggregating credit ratings for industrial companies and commercial banks. The work also confirms the relationship between the level of assigned credit ratings and the various phases of the credit cycle. The dynamics at the macroeconomic level shows that the credit ratings of various economic agents change in different directions and are out of sync with time correlation of credit cycles in various phases. The main scientific result of the study is an aggregate-based approach for credit risk evaluation of various economic agents and to develop the quantitative methods for assessing the relationship between the level of credit ratings and the credit cycle.
In book
Springer, 2021.
Vlada Shenevskaia, Sergey Grishunin, Alyona Astakhova, , in: Proceedings of the 44th Eurasia Business and Economics Society Conference, Istanbul 2023. Eurasian Business and Economics Perspectives. (EBES, volume 31).: Switzerland: Springer, 2024. P. 209–229.
The study focuses on estimating the creditworthiness of industrial enterprises in the Eurozone and North America, using a sample of 122 companies from 2008 to 2022. The data framework consists of annual financial, macroeconomic, and ESG risk factors. The paper’s principal contribution lies in a comparative examination of advanced modelling approaches for assessing the credit ...
Added: June 28, 2026
Ozerov K., Кутенко С. В., Деньги и кредит 2024 Т. 83 № 4 С. 98–118
Under limited data, the classical cohort method for the creation of migration matrices does not fully reflect the dynamics of the credit quality of the objects within the sample. This problem is exacerbated for objects of lower credit quality less represented in the sample. This paper investigates a continuous time approach to the creation of ...
Added: December 20, 2025
Господарчук Г. Г., Aistov A., Suchkova E. O., Финансы: теория и практика 2023 Т. 27 № 2 С. 108–118
Depending on the chosen business model, banks can act as both shock absorbers and crisis catalysts. In this regard, the analysis of the relationship between banks’ business models and financial cycles becomes a useful tool for diagnosing and predicting crisis phenomena. The purpose of the research is to identify the relationship between the volume of ...
Added: June 14, 2023
Selivanovskiy A., Научно-образовательный портал «Большая российская энциклопедия» 2023
Credit rating agencies, organizations engaged in the activity of compiling a credit rating - opinions on the ability of a rated entity to fulfill all financial obligations assumed, expressed using a rating category. Credit ratings are calculated on the basis of the past and current financial history of market participants, as well as on the ...
Added: March 19, 2023
Grishunin S., Egorova A., Journal of Corporate Finance Research 2022 Vol. 16 No. 1 P. 99–112
The purpose of this study is to compare the predictive power of different machine learning models to reproduce Moody’s credit ratings assigned to machine-building companies. The study closes several gaps found in the literature related to the choice of explanatory variables and the formation of a data sample for modeling. The task to be solved is highly ...
Added: June 22, 2022
Kopnova E., Gracheva A., Journal of Corporate Finance Research 2022 Vol. 16 No. 1 P. 65–82
In emerging market economies, public debt affects the national economy through a vast array of channels, the effect of which could be unobvious, but significant. The least obscure channel is the impact of the sovereign rating on corporate creditworthiness. In the Russian– language scientific literature, this aspect is scantly represented by papers that research the ...
Added: June 2, 2022
Grishunin S., Сулоева С. Б., Ширякина В. А. et al., International Journal of Technology 2021 Vol. 12 No. 7 P. 1479–1487
Small and medium-sized enterprises (SMEs) play a key role in the Russian economy. However, banks and investors are reluctant to provide debt financing to these firms. This is underpinned by SMEs’ speculative credit quality and information asymmetry between borrowers and lenders. In this study, we aim to identify the insolvency drivers of Russian SMEs and ...
Added: May 21, 2022
Karminsky A. M., Khromova E., Kudrov R., , in: Eurasian Business and Economics Perspectives. Eurasian Studies in Business and EconomicsVol. 19.: Springer Publishing Company, 2021. Ch. 9 P. 139–161.
The work is devoted to credit risk modeling of international banks by constructing ordered logistic models of credit ratings assigned by the agencies: Moody’s, Standard & Poor’s, and Fitch ratings. It was demonstrated that mapping the credit ratings into a base scale helps to decrease the possible subjectivity of CRAs and increases models’ forecasting power. ...
Added: November 1, 2021
Khromova E., , in: Recent Advances of the Russian Operations Research Society.: Cambridge: Cambridge Scholars Publishing, 2020. Ch. 11 P. 177–196.
Added: October 31, 2021
Grishunin S., Dyachkova N., Karminsky A. M., , in: Risk Assessment and Financial Regulation in Emerging Markets' Banking: Trends and Prospects.: Springer, 2021. Ch. 4 P. 93–119.
This paper examines the issues of the aggregation and comparison of the credit ratings of various economic agents for risk management purposes in a commercial bank. The empirical results of the study make it possible to increase the assessment of credit risks based on the constructed system of aggregating credit ratings for industrial companies and ...
Added: October 30, 2021
Karminsky A. M., Grishunin S., , in: Risk Assessment and Financial Regulation in Emerging Markets' Banking: Trends and Prospects.: Springer, 2021. P. 67–92.
Ratings in emerging markets can serve as part of the early warning systems to reflect the weak signals of potential risks to the entity from the environment. Emerging markets have specific features that rating agencies usually consider in judgments of their credit ratings. They are underpinned by the higher volatility, exposure to sovereign issues, weaknesses ...
Added: October 5, 2021
Mamonov M. E., Pestova A., Pankova V. et al., Экономическая политика 2020 Т. 15 № 5 С. 130–159
This paper provides a joint analysis of business and credit cycles with a focus on unobservable factors affecting both cycles, at the cross-country level. Using quarterly data for 19 developed countries and Russia for the period from 1994 to 2018, we build a system of two dynamic probit models, which includes a cross-correlation between the ...
Added: July 9, 2021
Dyachkova N., Karminsky A. M., , in: Recent Advances of the Russian Operations Research Society.: Cambridge: Cambridge Scholars Publishing, 2020. P. 163–177.
Interpreting and finding patterns in financial data can lead economists to make changes through the process of monitoring and planning. In the context of modern research papers, it often shows results, based on the patterns of financial indicators, which contain some insightful information. In our experience, we obtained results from the distinction of credit rating ...
Added: September 29, 2020
Ichkitidze Y., Krakovich V., Romanyuk K., Финансы и бизнес 2020 № 3 С. 40–60
The paper presents analysis of existing default probability estimation models. Their advantages and disadvantages for application to the Russian companies are considered. As a result of this analysis the new model of corporate default probability estimation is developed. The model is based on forecasting financial indicators. The model was tested on the US companies. The ...
Added: April 23, 2020
Karminsky A. M., Khromova E., Russian Journal of Economics 2018 Vol. 4 No. 2 P. 155–174
The paper is aimed at comparing the divergence of existing credit risk models and creating a synergic model with superior forecasting power based on a rating model and probability of default model of Russian banks. The paper demonstrates that rating models, if applied alone, tend to overestimate an instability of a bank, whereas probability of ...
Added: July 1, 2018
Живайкина А. Д., Peresetsky A., Журнал Новой экономической ассоциации 2017 Т. 4 № 36 С. 49–80
We consider 11 credit ratings of Russian banks, assigned by international and Russian rating agencies during 2012—2016. Econometric models of these ratings designed on the public information reveal difference in the approaches of the rating agencies to the Russian bank ratings. We also design econometric models of the Russian bank defaults, where we consider default ...
Added: January 12, 2018
Kurbangaleev M. Z., Zinaida V Seleznyova, Lapshin V. A., / NRU Higher School of Economics. Series FE "Financial Economics". 2018. No. 71.
In this paper, we examine if the aggregate rating constructed as a consensus of individual credit ratings can be accurately predicted with publicly available non-rating information about company. Adopting approach from computational social choice we construct consensus of ratings assigned by seven credit rating agencies to Russian banks in national scale and compare it with ...
Added: December 22, 2017