Modelling of Rating Downgrades Based on Multiple Failure-Time Data

Kód výsledku v 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>

Výsledek na webu

<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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Jazyk výsledku

angličtina

Název v původním jazyce

Modelling of Rating Downgrades Based on Multiple Failure-Time Data

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

Modelling of Rating Downgrades Based on Multiple Failure-Time Data

Popis výsledku anglicky

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.

Druh

J_ost - Ostatní články v recenzovaných periodicích

CEP obor

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OECD FORD obor

50206 - Finance

Projekt

<a href="/cs/project/EE2.3.20.0296" target="_blank" >EE2.3.20.0296: Výzkumný tým pro modelování ekonomických a finančních procesů na VŠB-TU Ostrava</a><br>

Návaznosti

P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)<br>S - Specificky vyzkum na vysokych skolach

Rok uplatnění

2019

Kód důvěrnosti údajů

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

Název periodika

Ekonomická revue

ISSN

1212-3951

e-ISSN

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Svazek periodika

22

Číslo periodika v rámci svazku

2

Stát vydavatele periodika

CZ - Česká republika

Počet stran výsledku

12

Strana od-do

45-56

Kód UT WoS článku

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EID výsledku v databázi Scopus

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