Faculty of Management Working Paper Series

Aims and Scope

The aim of University of Warsaw Faculty of Management Working Paper Series  (ISSN 2300-4371) is to get the findings out quickly, even if the presentations are less than fully polished. 


The papers published in the FMWPS can be both empirical and theoretical studies. Research areas covered by the FMWPS include: economics, finance, banking, management, marketing as well as quantitative methods. 

FMWPS are written by researchers employed at  the Faculty of Management of UW and by other economists, who present their research results in conferences or seminars organised by the Faculty or who would like to publish their findings in FMWPS. 

Abstract WPS 3/2018

Banks credit ratings – is the size of the credit rating agency important?


  • Patrycja Chodnicka-Jaworska


The basic goal of the article was to analyse macroeconomic and financial factors influencing the European banks’ credit ratings. A research question has been put as follows: Do, both small and big, credit rating agencies use the same methods for estimation of default risk? In the paper are put three hypotheses. The first one is: Countries’ risk has a significant influence on banks’ credit ratings changes. The second one seems as follows: A significant influence on banks’ credit ratings is the banks’ capital adequacy, profitability, liquidity and management quality. The last one is: The determinants of credit ratings assigned by major rating agencies are similar to those considered by the small agencies. For verification of these hypothesis the quarterly data form the Thomson Reuters database were collected. As dependent variables, the long term issuer credit ratings proposed European banks by the recognizable and smaller CRAs from 1998 to 2015 period of time are used. The analysis has been prepared in the sub-samples according to: the type of credit rating, the domestic and foreign notes and the political division.

Keywords: credit rating, macroeconomic variables, CAMEL factors

JEL Classification: C23, G15, G21



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Abstract WPS 2/2018

Banks’ Credit Rating Changes and Their Stock Prices – the Impact of Political Divisions and Economy Development


  • Patrycja Chodnicka-Jaworska


The basic goal of the article is to analyse the impact of credit rating changes on the rates of return of banks’ shares taking into account the level of economy development and the political divisions. The following hypothesis is proposed: The banks’ share prices have stronger reaction to the credit rating changes in developed economies. The strongest impact of the banks’ credit rating changes is observed for a downgrade, both in developed and developing economies. The analysis has been prepared on Thomson Reuters Database. As a dependent variable are taken into consideration daily differences between the logarithmized rates of return of banks’ shares. Independent variables are the threat of long term issuer credit rating changes proposed by small and big recognizable credit rating agencies. The analysis has been prepared on data through years 1980 to 2015 for 24 countries by using event study methods.

Keywords: credit rating, rates of return, political divisions, economy development

JEL Classification: G14, G15, G21



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Abstract WPS 1/2018

Banks’ Credit Ratings – the Impact of the Investor Type


  • Patrycja Chodnicka-Jaworska


The aim of the paper is an analysis of the determinants of banks’ credit ratings by taking into account the support from the government. A literature review has been prepared and the ensuing hypothesis seems as follows: Banks with the government capital receive higher credit ratings than institutions with private capital if financial factors are taken into account. The mentioned hypothesis has been verified with ordinary logit panel data models. Long-term issuer credit ratings proposed by three biggest credit rating agencies for banks from Europe have been used as dependent variables. The sample has been divided into subsamples according to the investor type, the bank size and the moment of a financial crisis.

Keywords: credit rating, logit models, private banks, public banks

JEL Classification: C23, G21, G24



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