File | Description | Size | Format | |
---|---|---|---|---|
assessing-corporate-risk-full_P_BD_final.pdf | 94.91 kB | Adobe PDF | View/OpenDownload |
Title: | Assessing corporate risk: a PD model based on credit ratings |
Authors: | Cardoso, Vicente de Souza Guimarães, André Luiz de Souza Macedo, Henrique Fernandes Lima, Jorge Cláudio Cavalcante de Oliveira |
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. |
Description: | Trabalho apresentado na 13th FRAP - Finance, Risk and Accounting Perspectives Conference, evento promovido pela Universidade de Cambridge, Inglaterra, nos dias 19 e 20 de novembro de 2013. Bibliografia: p. 8-9. |
Type: | Artigo |
Genre: | Textual |
URI: | http://web.bndes.gov.br/bib/jspui/handle/1408/1701 |
Date Available: | 2014-07-16T20:33:13Z 2018-03-19T16:13:21Z |
Appears in Collections: | Produção BNDES - Artigos |
Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.