English, Article edition: Rating cooperative and commercial bank bonds: a comparative approach Marc-André Flageole; Jean Roy

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Bookmark: http://trove.nla.gov.au/version/167156
Physical Description
  • article
Language
  • English

Edition details

Title
  • Rating cooperative and commercial bank bonds: a comparative approach
Author
  • Marc-André Flageole
  • Jean Roy
Physical Description
  • article
Notes
  • 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.
  • RePEc:bla:annpce:v:76:y:2005:i:3:p:407-435
Language
  • English
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