Study of the Coherence of the Ratings of Banks with The Probability of Failure Banking in the Emergent Countries (Etude De La Coherence Des Ratings De Banques Avec La Probabilite De Defaillance Bancaire Dans Les Pays Emergents)

LaRGE Working Paper No. 65

38 Pages Posted: 13 Sep 2004

See all articles by Christophe J. Godlewski

Christophe J. Godlewski

University of Strasbourg - Faculty of Law and Business; EM Strasbourg Business School; LaRGE Research Center

Date Written: March 2004

Abstract

This article proposes to apply the methodology of scoring and calibration in order to study the coherence of the ratings of banks with a model of defect of the banks in the emergent countries. Indeed, the role of the rating in time that vector of discipline of market, via the vehiculation of information on the risk of defect, should grow within the framework of the 3e Pilier of the Reform of Basle II. So that this role is effective, it is crucial that the rating is effectively coherent with the probability of defect of the transmitter. According to the results obtained, the use of the scoring to quantify the classes of internal rating gives coherent estimates with the rates of defaut observed. On the other hand, a tendency to the aggregation of information by the rating Moody's and Fitch are put in evidence. Finally, coherence proves more important in term of distribution of the probabilities of defect estimated by class of rating Moody's and Fitch.

Cet article propose d'appliquer la methodologie de scoring et de calibrage afin d'etudier la coherence des ratings de banques avec un modele de defaut des banques dans les pays emergents. En effet, le role du rating en temps que vecteur de discipline de marche, via la vehiculation d'informations sur le risque de defaut, devrait croitre dans le cadre du 3e Pilier de la Reforme de Bale II. Pour que ce role soit efficace, il est crucial que le rating soit effectivement coherent avec la probabilite de defaut de l'emetteur. D'apres les resultats obtenus, l'utilisation du scoring pour quantifier les classes de rating interne donne des estimations coherentes avec les taux de d'efaut observes. Par contre, une tendance a l'agregation de l'information par les rating Moody's et Fitch est mise en evidence. Enfin, la coherence s'avere plus importante en terme de repartition des probabilites de defaut estimees par classe de rating Moody's et Fitch.

Note: Downloadable document is in French.

Keywords: Probabilite de defaut et rating de banque, scoring et mapping, pays emergents

JEL Classification: G21, G28

Suggested Citation

Godlewski, Christophe J., Study of the Coherence of the Ratings of Banks with The Probability of Failure Banking in the Emergent Countries (Etude De La Coherence Des Ratings De Banques Avec La Probabilite De Defaillance Bancaire Dans Les Pays Emergents) (March 2004). LaRGE Working Paper No. 65. Available at SSRN: https://ssrn.com/abstract=588161 or http://dx.doi.org/10.2139/ssrn.588161

Christophe J. Godlewski (Contact Author)

University of Strasbourg - Faculty of Law and Business ( email )

1 place d'Athènes
Strasbourg, 67000
France

HOME PAGE: http://droit.unistra.fr/

EM Strasbourg Business School ( email )

61 Avenue de la Forêt Noire
Strasbourg, 67000
France

HOME PAGE: http://www.em-strasbourg.eu/

LaRGE Research Center ( email )

1 place d'Athènes
Strasbourg, 67000
France

HOME PAGE: http://droit.unistra.fr/

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