Professors Carlos Salvador, Juan Fernández de Guevara (graduate and lecturer in the Master's Degree in Banking and Quantitative finance, respectively) and José Manuel Pastor receive an award from the FUNCAS Programme for Investigation Encouragement.
Three professors from the Universitat de València, Carlos Salvador, Juan Fernández de Guevara and José Manuel Pastor will be honoured today, December 18th, with the Investigation Encouragement Programme award given by the FUNCAS organization, for the work titled “The adjustment of bank ratings in the financial crisis: International evidence, in a ceremony which will take place in Madrid.
Carlos Salvador is a university professor in Economy and Investigation. He was an alumnus of the Master’s Degree in Banking and Quantitative Finance, and later continued his studies with the Doctoral Programme in Finance and Quantitative Economy (European PhD). In fact, the paper for which he and the other two professors have been honoured is an extract from his thesis, “Ratings as indicators of the solvency of credit entities”.
Juan Fernández himself is a professor for our Qfb Master, to be more precise, in Banking Management, a first year course. He is the co-director, together with José Manuel Pastor, of Carlos’ thesis. Both are lecturers from the Department of Economic Analysis
Each year FUNCAS selects, out of the investigations published in their “Work Documents” collection, the best “theoretical or practical” paper. The criteria the Jury basically looks for are “the rigorous analysis of the economic and social reality of Spain, and the project’s projection to find solutions for current problems”.
The honoured paper can be read in full following this link: file:///C:/Users/UWM/Downloads/Doc750.pdf. Here is the abstract of the document:
This paper analyses the adjustment occurring in the ratings of the banks of the United States and the European Union as a result of the financial crisis. It uses a methodology that permits decomposition of the observed change in the rating into an effect associated with the change in the agencies’ rating policies and into another effect associated with the banks’ asset situation. The results obtained show that with the crisis there was a generalised fall in the ratings. This fall is due both to a worsening of the banks’ asset situation and to the hardening of rating policies. Specifically, we find that in Fitch 79.66% and in Standard and Poor’s 63.93% of the fall in the rating is due to a hardening of the rating policies, while in Moody’s the steep worsening of the banks’ asset situation is offset by a slight improvement in the rating criteria. These changes suggest a procyclical behaviour in Standard and Poor’s and Fitch, and conversely a through the cycle behaviour in Moody’s.
Related links:
Documentos de Trabajo – FUNCAS
