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

Kód výsledku v IS VaVaI

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Výsledek na webu

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DOI - Digital Object Identifier

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Jazyk výsledku

angličtina

Název v původním jazyce

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

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

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

Popis výsledku anglicky

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.

Druh

D - Stať ve sborníku

CEP obor

AH - Ekonomie

OECD FORD obor

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Projekt

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Návaznosti

S - Specificky vyzkum na vysokych skolach

Rok uplatnění

2012

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název statě ve sborníku

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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Počet stran výsledku

6

Strana od-do

646-651

Název nakladatele

Slezská univerzita v Opavě

Místo vydání

Opava

Místo konání akce

Karviná

Datum konání akce

11. 9. 2012

Typ akce podle státní příslušnosti

EUR - Evropská akce

Kód UT WoS článku

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