Modelling corporate bond rating with the use of market-based indicators

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F12%3A86082804" target="_blank" >RIV/61989100:27510/12:86082804 - isvavai.cz</a>
Result on the web
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DOI - Digital Object Identifier
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Result language
angličtina
Original language name
Modelling corporate bond rating with the use of market-based indicators
Original language description
The paper presents an estimation of corporate bond rating models based on both financial and market company indicators. The analysis will be carried out for companies in the oil and gas industry having a rating assessment from Moody's rating agency. Thepaper aims to offer a more detailed understanding of the relationship between company market indicators and bond rating classification. Bond rating models will be estimated by multivariate statistical methods such as discriminant analysis and logistic regression. The contribution of the paper is to identify variables with a significant impact on corporate bond rating in the selected industry. The models being derived allow classifying bond rating of companies with relatively high accuracy, even when a limited set of input variables is considered. The practical use of models lies in the area of management decision process and managing credit risk.
Czech name
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Czech description
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Publication year
2012
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection
Proceedings of 30th International Conference Mathematical Methods in Economics : 11-13 September 2012, Karviná, Czech Republic
ISBN
978-80-7248-779-0
ISSN
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e-ISSN
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Number of pages
6
Pages from-to
646-651
Publisher name
Slezská univerzita v Opavě
Place of publication
Opava
Event location
Karviná
Event date
Sep 11, 2012
Type of event by nationality
EUR - Evropská akce
UT code for WoS article
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