Internal Ratings and Bank Opacity: Evidence from Analysts’ Forecasts - Archive ouverte HAL Accéder directement au contenu
Article Dans Une Revue Journal of Financial Intermediation Année : 2023

Internal Ratings and Bank Opacity: Evidence from Analysts’ Forecasts

B. Bruno
  • Fonction : Auteur
I. Marino
  • Fonction : Auteur
G. Nocera

Résumé

We document that reliance on internal ratings-based (IRB) models to compute credit risk and capital requirements reduces bank opacity. Greater reliance on IRB models is associated with lower absolute forecast error and reduced disagreement among analysts regarding expected bank earnings per share. These results are stronger for banks that apply internal ratings to the most opaque loans and adopt the advanced version of IRB models, which entail a more granular risk assessment and greater disclosure of risk parameters. The results stem from the higher earnings informativeness and the more comprehensive disclosure of credit risk in banks adopting internal ratings. We employ an instrumental variables approach to validate our findings.
Fichier principal
Vignette du fichier
Nocera_2023_JFI.pdf (1.1 Mo) Télécharger le fichier
Origine Fichiers produits par l'(les) auteur(s)

Dates et versions

hal-04322520 , version 1 (05-12-2023)
hal-04322520 , version 2 (07-05-2024)

Identifiants

Citer

B. Bruno, I. Marino, G. Nocera. Internal Ratings and Bank Opacity: Evidence from Analysts’ Forecasts. Journal of Financial Intermediation, 2023, 56 (October 2023), ⟨10.1016/j.jfi.2023.101062⟩. ⟨hal-04322520v2⟩

Collections

AUDENCIA UNAM
23 Consultations
27 Téléchargements

Altmetric

Partager

Gmail Mastodon Facebook X LinkedIn More