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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
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.
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Appears in Collections:Produção BNDES - Artigos

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