The effect of selected variables on corporate bond rating using the ordinal logistic regression

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

The effect of selected variables on corporate bond rating using the ordinal logistic regression

Popis výsledku v původním jazyce

The paper is focused on examining and modelling the relationship between selected financial indicators and credit rating assessment. The influence of rating agencies is significant, mainly because their risk assessment is incorporated in regulatory provisions in many countries. As a result, it is essential to understand rating, the ways how it is measured and main factors of rating assessment. In this study, we identified and chose the potential financial indicators for classification purposes and thenwe subjected them into linearity verification. Firstly, we found the appropriate fractional polynomial functions and we conducted the sensitivity analysis to identify the influential observations driving the non-linearity. Afterwards, we carried out thestability analysis to assess the sensitivity of non-linear functions selected on small change of data to conclude if the (non)linearity is recommendable.

Název v anglickém jazyce

The effect of selected variables on corporate bond rating using the ordinal logistic regression

Popis výsledku anglicky

The paper is focused on examining and modelling the relationship between selected financial indicators and credit rating assessment. The influence of rating agencies is significant, mainly because their risk assessment is incorporated in regulatory provisions in many countries. As a result, it is essential to understand rating, the ways how it is measured and main factors of rating assessment. In this study, we identified and chose the potential financial indicators for classification purposes and thenwe subjected them into linearity verification. Firstly, we found the appropriate fractional polynomial functions and we conducted the sensitivity analysis to identify the influential observations driving the non-linearity. Afterwards, we carried out thestability analysis to assess the sensitivity of non-linear functions selected on small change of data to conclude if the (non)linearity is recommendable.

Druh

D - Stať ve sborníku

CEP obor

AE - Řízení, správa a administrativa

OECD FORD obor

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Projekt

Výsledek vznikl pri realizaci vícero projektů. Více informací v záložce Projekty.

Návaznosti

P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Rok uplatnění

2014

Kód důvěrnosti údajů

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

Název statě ve sborníku

Managing and Modeling of Financial Risks : 7th international scientific conference : proceedings : 8th-9th September 2014, Ostrava, Czech Republic. [Part I-III]

ISBN

978-80-248-3631-7

ISSN

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e-ISSN

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Počet stran výsledku

7

Strana od-do

545-553

Název nakladatele

VŠB-Technical University of Ostrava

Místo vydání

Ostrava

Místo konání akce

Ostrava

Datum konání akce

8. 9. 2014

Typ akce podle státní příslušnosti

EUR - Evropská akce

Kód UT WoS článku

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