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Z-Score Models’ application to Italian companies subject to extraordinary administration

Edward I. Altman, Alessandro Danovi, Alberto Falini
April 2013 - n°4
Jel codes: G30, G33

This paper analyzes the methods of rating attribution of the major international agencies (Moody’s, Fitch and Standard & Poor’s) between 2005 and 2010 for a sample of Italian and European listed banks and tests empirically, through the multivariate analysis of Ols, the possible relations of dependence between ratings and principal indicators of the banks and macroeconomic and market variables.The empirical analysis seems to support the view that rating agencies take into account the dynamics of financial variables, macroeconomic and confidence indicators considered in this research

 

 

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