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Formát
| Článek |
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Hlavní záhlaví
|  Novotná, Martina, 1967- |
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Název
| Modelling of Rating Downgrades Based on Multiple Failure-Time Data / Martina Novotná |
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Popis (rozsah)
| 7 obrázků, 2 tabulky |
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Typ obsahu
| text |
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Ext.odkaz
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 Plný text
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EXEMPLÁŘE
| Všechny jednotky |
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Zdroj.dokument
| Ekonomická revue. -- Ročník 22, číslo 2, (2019), strana 45-56. -- ISSN 1212-3951 |
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Poznámka
| Obsahuje bibliografii |
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Abstrakt
| 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 estimate 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. Furthermore, 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.. |
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Předmět. heslo
| finanční služby |
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| úvěry |
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| kreditní riziko |
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| finanční rizika |
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| rating |
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| analýza |
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| modelování a simulace |
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Klíčová slova
| * Coxův model |
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Skupina Konspektu
| 336.7 - Finance |
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MDT
| 336.7 |
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Systém. číslo
| 006510101 |
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