Estimation of quantitative rating systems and application to bond rating prediction

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F13%3A86086530" target="_blank" >RIV/61989100:27510/13:86086530 - isvavai.cz</a>
Result on the web
<a href="https://www.vspj.cz/soubory/download/id/2259" target="_blank" >https://www.vspj.cz/soubory/download/id/2259</a>
DOI - Digital Object Identifier
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Result language
angličtina
Original language name
Estimation of quantitative rating systems and application to bond rating prediction
Original language description
The topic of this paper falls within the area of credit risk measurement and modelling, specifically the problem of bond rating models estimation. There are various approaches that can be used to develop an automated rating system, such as econometric models based on historical data on past defaults, neural networks or structural models. The approach in this paper is based on a database of rating decisions of a certified rating agency. Using a logistic regression technique, the model to bond rating prediction can be estimated. Ordinal logistic regression can be used to investigate the relationship between rating and various independent variables such as financial ratios, macroeconomic indicators or selected qualitative factors with a potential effect on rating. In comparison with multiple logistic regressions, this approach enables to consider the nature and ordinal ranking of rating assessment. The paper aims at using the ordinal regression on selected corporate bonds to build a bond
Czech name
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Czech description
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Publication year
2013
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection
Mathematical Methods in Economics 2013 : 31st international conference : 11-13 September 2013, Jihlava, Czech Republic
ISBN
978-80-87035-76-4
ISSN
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e-ISSN
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Number of pages
6
Pages from-to
673-678
Publisher name
College of Polytechnics Jihlava
Place of publication
Jihlava
Event location
Jihlava
Event date
Sep 11, 2013
Type of event by nationality
WRD - Celosvětová akce
UT code for WoS article
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