Author(s): Bogosi, Reka
Date: 2016
Persistent ID: http://hdl.handle.net/10362/16779
Origin: Repositório Institucional da UNL
Subject(s): Non-performing loans; Capitalization; Net interest margin; Wholesale funding; Domínio/Área Científica::Ciências Sociais::Economia e Gestão
The paper studies the relationship between four differently rated bank’s financial profile and their standalone credit rating issued by Moody’s. The comparative analysis shows an example that despite their pricing power and geographical coverage, larger banks do not necessarily have better credit ratings. Instead, business model and risk appetite seem to be the defining factors of banks’ vulnerability to shocks, such as the Spanish real estate crisis. The risk-return relationship is also identified in the banks’ fundamentals meaning that while expansionary strategy in riskier asset classes enhances margins, it also potentially distorts the credit risk profile.
