Rating cooperative and commercial bank bonds: a comparative approach
The primary objective of this article is to find whether bonds issued by commercial and cooperative banks are rated similarly or not. We then compare the performance of two quantitative methods, namely seemingly unrelated regressions (SURE) and recursive partitioning algorithm (RPA), at explaining bond ratings based on the same set of quantitative indicators. Using the regression model, cooperative banks' credit risk is more sensitive to the quality and size of assets. For commercial banks, elements relative to debt more clearly stand out. In the RPA model, a subtree for the financial cooperatives is created which provides evidence of some differentiation in the rating process. Also, the RPA model outperforms the parametric method whether performance is measured by the percentage of correct classification or the size of the average rating prediction error. Copyright CIRIEC, 2005.
In order to set up a list of libraries that you have access to,
you must first login
or sign up.
Then set up a personal list of libraries from your profile page by
clicking on your user name at the top right of any screen.