Patrycja Chodnicka-Jaworska

Fundamental determinants of credit default risk for European and American banks

The aim of the paper is to identify the fundamental variables driving banks’ credit default swaps. Quarterly data from 2004 to 2015 for European and American banks have been used. The analysis has been prepared through static panel data models. The following hypothesis has been put forward: the earnings potential, and economic uncertainty significantly influence credit risk. The independent variables used are CAMELS factors – Capital Adequacy, Asset Quality, Management Quality, Earnings Potential, Liquidity, and Sensitivity to Market Risk. The CDS spreads are most sensitive to the market risk factors whereas capital adequacy, earnings and liquidity indicators have weaker impact.

Competitiveness and Concentration of the Banking Sector as a Measure of Banks’ Credit Ratings

The aim of the paper is to verify the impact of the competitiveness of the banking sector and concentration on banks’ credit ratings. A literature review was prepared and as a result the following hypothesis was put: the bigger the banks from the countries where the banking sector is more concentrated and more competitive, the higher the banks’ credit ratings. The analysis has been prepared by using ordered panel data models on banks’ credit ratings with the use of quarterly data on a European banks’ sample. Long-term issuer credit ratings given to banks by the three largest credit rating agencies (S&P, Fitch and Moody) were used as a dependent variable. Banks’ notes are especially sensitive to the capital adequacy, the assets quality and the earnings factors. The concentration of the banking sector has got a significant impact on the notes proposed by Fitch and Moody’s, but the direction of the impact has been varied. Fitch notes are positively correlated with concentration indicators. According to their opinion, bigger banks on more concentrated markets can receive the financial support from the government, because in the case of default problems will have an influence on the whole financial system. Fitch ratings also react negatively to a higher competition on the financial market. Moody’s puts attention to insolvency problems of the financial market, and as a result its notes are negatively correlated with the concentration of the banking sector. A positive relationship between the competition and banks’ credit ratings has been observed in the case of Moody’s and S&P’s.

Significance of Financial Indicators and Banks’ Credit Ratings During Crisis

The main aim of the paper is analysis of behaviour of banks’ credit ratings during the boom and economic downturns by taking account the financial indicators. It has been made a literature review, and there have been put the following hypotheses: During the financial crisis it has been observed the stronger impact of the financial indicators. Banks’ notes during the economic downturns are lower than during boom period. To the analysis there have been used quarterly data for 1998–2016 period of time for European banks. To the analysis there have been used quarterly data from 1998–2016. Hypotheses were verified by using the ordered panel probit models for long term issuer credit ratings. The studies show that, during the crisis, Fitch and Moody’s banks’ credit ratings are lower than during the boom. Furthermore, it was noted that S&P’s notes are insensitive to the analysed changes.

Management of Credit Rating Agencies – Modified “Issuer‑Pays” Model

The basic goal of the article is analyse the current regulations about credit rating agency and their activity in European Union and United States and answer the question which one the issuer or investor paid credit rating model is better, as a result building the own credit rating management model. It has been made a literature review abut actual models of risk management. Then are presented the current trends and propositions of changes in regulations. There have been described models: “issuer pays” and “investor pays” and introduced the original model management agency, taking into account the rating of four players, namely: the investor, issuer, rating agency and supervisory institutions. It has been put the following hypothesis: The introduction of regulations on credit rating agencies and credit ratings, improve the social welfare and the quality of the presented notes.

Information Value of the Credit Rating on the Credit Default Swaps Market

The paper examines and analyses the impact of the countries’ credit ratings changes on the cost of credit defaults swaps premium. It is assumed statistical significance abnormal returns due to changes in credit ratings assigned by the agencies. It is hypothesized that ratings events convey new information and lead to significant abnormal reactions. The study used the ratings assigned by Standard & Poors and Moodys for the period from 1 January 2005 to 1 November 2015 and spreads for five-year senior unsecured CDS. To verify the hypothesis it is applied the event study method by using daily data.

Zjawisko inflacji credit ratingów - czy występują różnice w determinantach credit ratingów

The aim of the paper was to verify the differences in the estimation of the factors affecting the banks’ credit ratings given the same issuers by two different rating agencies. The literature about the credit ratings’ inflation phenomenon and the credit ratings shopping has been reviewed. The following hypotheses have been put forward: Banks’ credit ratings assigned by the two rating agencies determined the significance of various financial ratios. The bigger the rating agency, the more optimistic assessment. For the purposes of the study, data have been collectedon banks’ credit ratings and their financial indicators for the years 1998–2015 on a quarterly basis and results have been compared for individual groups of credit rating agencies. The sample has been divided into three sub-samples, namely notes broadcast simultaneously by S&P and Moody, S&P and Fitch, and Moody and Fitch. In the study, the ordinary probit panel data models have been used.

Market Pricing of European Banks Credit Rating Changes

The basic goal of the article is to analyse the impact of changes of bank’s credit ratings on the rates of return of bank’s shares. The hypothesis seems as follows: The downgrade of a credit rating exerts significant negative influence on the rate of return of banks shares. The impact of changes of credit ratings is higher in developed countries. The analysis has been prepared on European banks in the period 1980 to 2015 by using an event study method. The sample has been divided into subsamples according to: the downgrade and upgrade of credit ratings, political divisions and the development status of countries. These data are collected from Thomson Reuters. Dependent variables as taken as daily rates of returns and independent variables are those which threaten the banks long term issuer credit ratings proposed by S&P.

Anti – Money Laundering Regulations in Europe – Comparative Analysis

The purpose of the paper was to introduce anti money laundering regulations in the European countries. It was made an analysis of existing researches on the presented topics. There were presented law determinants which can influence on the number of transactions suspected for money laundering. The phenomenon of reporting suspicious transactions of money laundering in the banking sector is dependent on factors such as: variables connected with transactions, the policy restrictiveness against money laundering, the risks of money laundering and the level of economic development. In the article were analysed 47 European countries and received findings were compared with the emerging markets. For better understanding problem were used panel data estimation methods.