This period we are changing 20 this time. They are:

starting previous_run this_run best_guess best_guess_smm
1.2683165 1.2683165 1.2683165 1.2683165 267.1912
1.8467608 1.8467608 1.8467608 1.8467607 267.1912
3.8688459 3.8688459 3.8688459 3.8688459 267.1912
0.7060891 0.7060891 0.7060891 0.7060891 267.1912
7.3862343 7.3862343 7.3862343 7.3862343 267.1912
3.1902719 3.1902718 3.1902718 3.1902719 267.1912
1.0728219 1.0728219 1.0728219 1.0728219 267.1912
-0.6372458 -0.6372458 -0.6372458 -0.6372458 267.1912
2.0954804 2.0954804 2.0954804 2.0954804 267.1912
0.9369316 0.9369316 0.9369316 0.9369316 267.1912
-1.1637595 -1.1637595 -1.1637595 -1.1637595 267.1912
-0.8363388 -0.8363388 -0.8363388 -0.8363388 267.1912
1.4686165 1.4686165 1.4686165 1.4686165 267.1912
-1.8130058 -1.8130058 -1.8130058 -1.8130058 267.1912
0.6055409 0.6055409 0.6055409 0.6055409 267.1912
0.4110276 0.4110276 0.4110276 0.4110276 267.1912
-2.9056160 -2.9056160 -2.9056160 -2.9056160 267.1912
0.8049638 0.8049638 0.8049638 0.8049638 267.1912
-0.4187553 -0.4187553 -0.4187553 -0.4187553 267.1912
-0.4969602 -0.4969602 -0.4969602 -0.4969602 267.1912
1.3922522 1.2683165 1.2683165 1.3922522 267.1912
3.9519215 1.8467608 1.8467608 3.9519215 267.1912
0.9443140 3.8688459 3.8688459 0.9443140 267.1912
1.1950129 0.7060891 0.7060891 1.1950129 267.1912
0.8417060 7.3862343 7.3862343 0.8417060 267.1912
1.9132885 3.1902718 3.1902718 1.9132885 267.1912
1.0470890 1.0728219 1.0728219 1.0470890 267.1912
0.3290876 -0.6372458 -0.6372458 0.3290876 267.1912
4.5400982 2.0954804 2.0954804 4.5400982 267.1912
1.1009599 0.9369316 0.9369316 1.1009599 267.1912
1.0267906 -1.1637595 -1.1637595 1.0267906 267.1912
1.0660212 -0.8363388 -0.8363388 1.0660212 267.1912
-0.7363545 1.4686165 1.4686165 -0.7363545 267.1912
1.3199855 -1.8130058 -1.8130058 1.3199855 267.1912
3.1093044 0.6055409 0.6055409 3.1093044 267.1912
3.7142587 0.4110276 0.4110276 3.7142587 267.1912
0.2648872 -2.9056160 -2.9056160 0.2648872 267.1912
-0.0326388 0.8049638 0.8049638 -0.0326388 267.1912
0.0696223 -0.4187553 -0.4187553 0.0696223 267.1912
0.1875376 -0.4969602 -0.4969602 0.1875376 267.1912
0.2298902 1.2683165 1.2683165 0.2298902 267.1912
0.3384610 1.8467608 1.8467608 0.3384610 267.1912
0.2057547 3.8688459 3.8688459 0.2057547 267.1912
-0.0661199 0.7060891 0.7060891 -0.0661199 267.1912
0.1645736 7.3862343 7.3862343 0.1645736 267.1912

SMM stats

The overall SMM is 267.19, the best so far is 267.19.

The main moments for the model are:

type previous_run this_run best_guess
ROE SMM 52.79 27.97 27.97
ROE dist SMM 47.32 24.73 24.73
ROA SMM 0 0 0
COD SMM 12.2 16.61 16.61
X SMM 0.81 0.78 0.78
Y SMM 1.12 1.14 1.14
Debt SMM 3.82 0.29 0.29
Equity SMM 0.34 0.06 0.06
BM SMM 0.12 0.09 0.09
ETA SMM 197.58 21.22 21.22
Expenses SMM 0 0 0
Survival SMM 0 0 0
CR SMM 599.82 45.12 45.12
Debt choice overall SMM 9.07 9.07 9.07
BM choice overall SMM 5.32 5.32 5.32
Rated choice 3 period SMM 0 0 0
Debt 2 choice over time SMM 0 0 0
Debt Choice t tests 82.01 29.06 29.06
BM Choice t tests 80.85 60.25 60.25
CR Choice Chi2 SMM 10364.37 23.58 23.58
Share Capital SMM 0.98 1 1
Dividends SMM 1.4 0.9 0.9

Guesses

SMM values so far are:

Choices

By year

T-test value for ln(debt) and bm choices, Chi2 values for CR choices (x2 value = 3.84):

T Debt.Choice BM.Choice CR.Choice
1 2.22 -1.02 15.73
2 0.15 0.78 4.6
3 -0.41 6.05 0.22
4 -0.88 0.22 0.05
5 -1.8 0.94 6.09
6 -1.44 -1.55 2.14
7 0.16 -2.61 3.9
8 -0.06 -0.79 0.45
9 0.49 -1.47 0.53
10 1.54 -0.57 0.87
11 -0.55 -4.09 0.82

Credit ratings

Here are some useful info about credit ratings

Debt, equity and BM

The change in key bank characteristics

Breakdown of moments

moment pre_crisis_sim pre_crisis_real pre_diff peak_crisis_sim peak_crisis_real peak_diff post_crisis_sim post_crisis_real post_diff past_pre past_peak past_post
Average rating 4.94 5.11 -3.33% 5.0077 5.07 -1.23% 4.9233 4.66 5.65% 5.7784 5.8096 5.4911
SD 0.8147 0.9076 -9.29% 0.8027 0.9307 -12.8% 0.7294 1.12 -39.06% 1.1596 1.2342 1.3781
Rated / Total 0.1769 0.2139 -3.7% 0.2196 0.2288 -0.92% 0.2056 0.2068 -0.12% 0.4408 0.6949 0.7875
Cost of Debt (rated) 0.0437 0.0246 1.91% 0.0433 0.0295 1.38% 0.0301 0.0166 1.35% 0.0388 0.0363 0.0258
SD 0.0114 0.01 0.14% 0.0102 0.0145 -0.43% 0.0065 0.0124 -0.59% 0.0133 0.0082 0.0059
Cost of Debt (not rated) 0.0414 0.0244 1.69% 0.0381 0.0279 1.02% 0.0285 0.0157 1.28% 0.0429 0.0383 0.0248
SD 0.0114 0.0108 0.06% 0.009 0.0147 -0.56% 0.0067 0.0114 -0.46% 0.0107 0.01 0.0066
Cost of Debt (no new debt) 0.0259 0.0275 -0.16% 0.0346 0.0289 0.57% 0.0318 0.019 1.28% 0.0235 0.0317 0.0266
SD 0.0096 0.0118 -0.22% 0.009 0.0143 -0.53% 0.0108 0.0127 -0.19% 0.0089 0.0079 0.009
Return of X 0.0791 0.0646 1.45% 0.0697 0.0603 0.94% 0.0524 0.0479 0.45% 0.0791 0.0696 0.0524
SD 0.0288 0.0298 -0.1% 0.0305 0.0273 0.32% 0.0294 0.0244 0.5% 0.0288 0.0305 0.03
Return of Y 0.0657 0.0521 1.36% 0.0597 0.0481 1.17% 0.0574 0.049 0.84% 0.0657 0.0597 0.0573
SD 0.042 0.0606 -1.85% 0.0429 0.0596 -1.67% 0.0427 0.0621 -1.94% 0.042 0.043 0.0429
Dividends (% of equity) 0.0645 0.0787 -1.42% 0.0615 0.0542 0.73% 0.0604 0.0536 0.67% 0.0664 0.0706 0.0603
SD 0.0464 0.0881 -4.17% 0.198 0.0758 12.21% 0.3793 0.0792 30% 0.0456 0.9643 0.082
Dividends (% of TA) 0.0073 0.0063 0.1% 0.007 0.0062 0.08% 0.0065 0.0053 0.12% 0.0074 0.0071 0.0065
SD 0.005 0.0096 -0.46% 0.005 0.0116 -0.66% 0.0055 0.0097 -0.42% 0.005 0.005 0.0051
Share Capital (% of equity) 0.0145 0.0038 1.08% 0.0126 0.0111 0.15% 0.0136 0.0146 -0.09% 0.0145 0.0122 0.0138
SD 0.0096 0.0291 -1.95% 0.0089 0.0293 -2.04% 0.0079 0.0308 -2.3% 0.0094 0.0081 0.0073
Ln Expenses 17.34 16.837 2.99% 17.1569 16.837 1.9% 16.9977 17.2739 -1.6% 17.3688 17.2183 17.2171
Expenses (% of total assets) 0.0263 0.0293 -0.31% 0.0234 0.0293 -0.6% 0.0217 0.0293 -0.76% 0.0264 0.0235 0.0216
SD 0.0118 0.0334 -2.16% 0.0111 0.0334 -2.23% 0.0108 0.0334 -2.26% 0.0119 0.0111 0.0108
Equity to total assets 0.1183 0.1182 0.01% 0.1266 0.1236 0.29% 0.1296 0.131 -0.14% 0.1189 0.128 0.1221
SD 0.0847 0.11 -2.53% 0.0897 0.1195 -2.98% 0.12 0.1236 -0.36% 0.0856 0.0881 0.1077
Debt 20.9279 20.8224 0.51% 20.8461 20.8264 0.09% 20.7599 20.6598 0.48% 20.9478 20.9 21.0021
SD 2.648 2.0941 26.45% 2.5442 2.0958 21.4% 2.4857 2.1077 17.93% 2.6637 2.5745 2.5294
Equity 18.6379 18.5817 0.3% 18.6318 18.5959 0.19% 18.5411 18.5521 -0.06% 18.6709 18.7278 18.7671
SD 1.9597 1.7643 11.08% 2.0104 1.7616 14.12% 2.0664 1.818 13.67% 1.9871 2.0707 2.1672
Business Model 0.6246 0.6194 0.52% 0.6449 0.6353 0.97% 0.5975 0.6095 -1.2% 0.6271 0.6448 0.5911
SD 0.2937 0.2777 1.6% 0.2876 0.277 1.06% 0.2939 0.2634 3.06% 0.294 0.2863 0.2869
Net Income 39751812 54200000 -26.66% 24925672 41400000 -39.79% 15332539 35400000 -56.69% 67760312 63394600 56959040
SD 260253792 1.31e+08 98.67% 245694592 1.16e+08 111.81% 210997024 1.08e+08 95.37% 316325184 306298432 290176256
Return on assets 0.0122 0.0098 0.24% 0.0064 0.0066 -0.02% 0.0038 0.0057 -0.19% 0.0134 0.0081 0.0064
SD 0.02 0.0114 0.85% 0.0188 0.0117 0.71% 0.0191 0.0131 0.6% 0.02 0.0186 0.0196
Return on Equity 0.1095 0.1095 0% 0.0612 0.0707 -0.95% 0.0502 0.0501 0.01% 0.1277 0.0843 0.0823
SD 0.2772 0.0994 17.78% 0.2428 0.1027 14.01% 0.2509 0.1028 14.8% 0.2734 0.2337 0.2505
Bankruptcy percentage 0.9956 1 -0.44% 0.9495 0.978 -2.85% 0.9414 0.9583 -1.69% 0.9969 0.9626 0.9597
IR 0.0437 0.0298 1.39% 0.0322 0.029 0.32% 0.0068 0.0074 -0.06% 0.0437 0.0322 0.0068
Sovereing rating 47.2808 46.9871 0.62% 46.1261 46.2995 -0.37% 41.1818 40.3516 2.06% 47.2632 46.0777 40.9652

Credit ratings

Here are some useful info about credit ratings

Cost of debt

The cost of debt for no new debt, not rated and rated

Return on assets

The return of x and y

Dividends and Share capital

The dividends and share capital

Profit made

The change in key profit characteristics

Other variables

The change in other variables

Choices - graphs

The simulated choices:

Other coefficients

The overall variables for the model are:

Name Variable V1
BetaCR0 NR constant 1.0728219
BetaCR1 Ec -0.0063725
BetaCR2 Rated constant 0.2095480
BetaCR3 Sovereign rating 0.0936932
BetaCR4 BM -0.1163760
BetaCR5 TA/Eq -0.0008363
EPSB1 Shock 0.3714259
BetaX0 Constant 0.0146862
BetaX2 Ec -0.0001813
BetaX3 IR 0.6055409
BetaX4 Sovereign rating 0.0004110
EPSB2 Shock 0.0126832
BetaY0 Constant -0.0029056
BetaY1 Sovereign rating 0.0008050
BetaY2 Ec -0.0004188
EPSB3 Shock 0.0184676
BetaCD0 Constant -0.0049696
BetaCD1 NR constant 0.0013922
BetaTax Tax 0.0656700
BetaEq1 Dividends -0.0073635
BetaCD2 Rating 0.3951922
BetaCD8 CR e constant -0.7462700
BetaCD9 CR constant 0.0009443
BetaCD3 Ec 0.1195013
BetaCD4 IR 0.0000842
BetaEq2 Share capital 1.3199855
A32 Choleski element 0.0696223
BetaCD5 Sqrt(TA/Eq) 0.0191329
BetaCD6 BM 0.0010471
BetaCDT Sovereign rating 0.3290876
BetaCD7 Premium for bigger rated banks 0.0454010
BetaDv1 Equity t-1 0.1100960
DDecay Debt decay 0.3109304
DebtCst Debt cost 0.0038688
BMCst BM cost 0.2648872
BetaBR Bankruptcy cost -0.0326388
BetaDv2 Net income 0.0010268
BetaSC2 Total assets 0.0106602
BetaEp0 Total assets 0.0073862
EPSB4 Shock 0.2886000
gammaD(1) EF D choice 2 0.1875376
gammaD(2) EF D choice 3 0.2298902
gammaD(3) EF D choice 4 0.3384610
gammaD(4) EF D choice 5 0.2057547
gammaBM(1) EF BM choice 2 -0.0661199
gammaBM(2) EF BM choice 3 0.1645736
gammaBM(3) EF BM choice 4 0.0706089
gammaBM(4) EF BM choice 5 0.0000319
gammaCR EF CR rated 0.0000000