Please use this identifier to cite or link to this item:
http://bibliotecadigital.economia.gov.br/handle/123456789/527535| Title: | Assessing corporate risk: a PD model based on credit ratings |
| Keywords: | Avaliação de riscos Risco (Economia) Agências de classificação de risco (Finanças) Sistemas de avaliação de risco de crédito (Finanças) Créditos - Avaliação Indústrias - Créditos - Avaliação Risk assessment Risk Rating agencies (Finance) Credit scoring systems Credit ratings Industries - Credit ratings |
| Issue Date: | 2013 |
| Abstract: | This paper proposes a model which tries to mimic agencies corporate ratings. Using financial data for more than 1,400 firms across several years, a model based on financial statements was estimated and yielded reasonable accuracy for companies of diverse sizes and industries. The model was able to predict ratings within 3 notches of accuracy for about 90% of the cases. |
| URI: | http://bibliotecadigital.economia.gov.br/handle/123456789/527535 |
| Other Identifiers: | http://web.bndes.gov.br/bib/jspui/handle/1408/1701 |
| Appears in Collections: | Produção BNDES - Artigos |
Files in This Item:
There are no files associated with this item.
Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.