Estimation of quantitative rating systems and application to bond rating prediction

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

Estimation of quantitative rating systems and application to bond rating prediction

Popis výsledku v původním jazyce

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

Název v anglickém jazyce

Estimation of quantitative rating systems and application to bond rating prediction

Popis výsledku anglicky

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

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

2013

Kód důvěrnosti údajů

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

Název statě ve sborníku

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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Počet stran výsledku

6

Strana od-do

673-678

Název nakladatele

College of Polytechnics Jihlava

Místo vydání

Jihlava

Místo konání akce

Jihlava

Datum konání akce

11. 9. 2013

Typ akce podle státní příslušnosti

WRD - Celosvětová akce

Kód UT WoS článku

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