The paper presents the first results of a new approach to evaluate the ratings of the banks, especially non-listed ones, basing on the rank the main rating agencies confer to the listed intermediaries. The outcome of a deep investigation about the discriminating power of main bank ratios is provided, in order to assess the possibility to discriminate, in fact, the group of healthy banks versus selected samples of intermediaries affected by hidden, specific “pathologies”.Statistical tools already available and new statistical discriminating tools are used, to contrast a reference sample of hi-ratingbanks versus selected samples of low-rating ones,and to assess the false allocations rate of error.An original methodology is applied, the so called “PC-Mahalanobis” (PC-M). It consists of verifying the position of each bank in the (hyper)space of a number of significant principal components, the first two of them for the most, calculated on a peculiar set of transformed indicators, to reveal groups of low performing intermediaries and segregate them as deserving prudential control. The approach seems to provide a powerful tool to unveilprodromic signals of instability for selected banks or groups of them, whether or not they are listed/rated.
|
