A multicriteria discrimination approach for the credit rating of Asian banks

Springer Science and Business Media LLC - Tập 3 - Trang 351-367 - 2006
Fotios Pasiouras1, Chrysovalantis Gaganis2, Michael Doumpos2
1School of Management, University of Bath, Bath, UK
2Financial Engineering Laboratory, Department of Production Engineering and Management, Technical University of Crete, Chania, Greece

Tóm tắt

In this paper we develop a multicriteria decision aid model, to investigate whether it is possible to replicate the credit ratings of Fitch on Asian banks using publicly available data. The model is developed with the Multi-group Hierarchical DIScrimination (MHDIS) approach, following a tenfold cross validation procedure. Five financial variables are selected from a list of nineteen ones through factor analysis. An additional set of five non-financial variables covering ownership, corporate governance, auditing, strength of bank’s franchise and its banking environment is also being used. The results show that equity/customer and short term funding, net interest margin and return on average equity are the most important financial variables. The number of shareholders, the number of subsidiaries and the banking environment of the country in which the banks operate are the most important non-financial ones. In terms of classification accuracies, the results show that the MHDIS model can replicate the credit ratings of Fitch with a satisfactory accuracy and is more efficient than discriminant analysis and ordered logistic regression that are used for comparison purposes.

Tài liệu tham khảo