Modelling of Rating Downgrades Based on Multiple Failure-Time Data

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F19%3A10249048" target="_blank" >RIV/61989100:27510/19:10249048 - isvavai.cz</a>
Result on the web
<a href="https://www.ekf.vsb.cz/cerei/cs/" target="_blank" >https://www.ekf.vsb.cz/cerei/cs/</a>
DOI - Digital Object Identifier
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Result language
angličtina
Original language name
Modelling of Rating Downgrades Based on Multiple Failure-Time Data
Original language description
This article aims to develop rating models based on survival analysis methods. The focus is on the use of the Cox proportional hazards model to analyse the time to an event defined as a rating downgrade and to examine the effect of selected financial variables on the rating. Two different approaches are used to esti-mate the models depending on whether we are considering one or multiple events for a subject. The results show that the probability of a rating downgrade is affected by annual changes in financial variables. Fur-thermore, the application indicates that the study of multiple failure-time data leads to a more suitable model based on the statistical significance of the estimated coefficients and the goodness of fit. Overall, the main findings suggest that it is more appropriate to use multiple failure-time analysis, which corresponds better to a given problem and allows the use of all the available data, for modelling rating downgrades.
Czech name
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Czech description
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Project
<a href="/en/project/EE2.3.20.0296" target="_blank" >EE2.3.20.0296: Research team for modelling of economic and financial processes at VSB-TU Ostrava</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)<br>S - Specificky vyzkum na vysokych skolach

Publication year
2019
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

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