Are rating agencies' assignments opaque? Evidence from international banks

Tony Bellotti, Roman Matousek, Chris Stewart

Research output: Journal PublicationArticlepeer-review

19 Citations (Scopus)


We compare the ability of ordered choice models and support vector machines to model and predict international bank ratings. Although support vector machines can identify significant determinants we argue that ordered choice models are more reliable for this. Our findings suggest that ratings reflect a bank's financial position, the timing of rating assignment and a bank's country of origin. Accounting for country effects substantially improves predictive performance. We find that support vector machines can produce considerably better predictions of international bank ratings than ordered choice models due to the formers ability to estimate a large number of country dummies unrestrictedly.

Original languageEnglish
Pages (from-to)4206-4214
Number of pages9
JournalExpert Systems with Applications
Issue number4
Publication statusPublished - Apr 2011
Externally publishedYes


  • Country effects
  • International banks
  • Ordered choice models
  • Ratings
  • Support vector machines

ASJC Scopus subject areas

  • Engineering (all)
  • Computer Science Applications
  • Artificial Intelligence


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