- Autor
- Wójcicka Aleksandra (Poznań University of Economics, Poland)
- Tytuł
- Calibration of a Credit Rating Scale for Polish Companies
- Źródło
- Operations Research and Decisions, 2012, vol. 22, no. 3, s. 63-73, tab., bibliogr. 16 poz.
- Słowa kluczowe
- Ryzyko kredytowe, Ocena ryzyka, Prawdopodobieństwo
Credit risk, Risk assessment, Probability - Uwagi
- summ.
- Abstrakt
- Increasing number of bankruptcy announcements means that even greater attention is being paid to the correct evaluation of the probability of default (PD) and decisions made on the basis of it. Reliable estimation of the likelihood of a company's bankruptcy reduces risk, not only for the company itself but also for all co-operating companies and financial institutions. The financial crisis has led to a tightening up of the conditions for gaining finance from banks. However, it is not only the evaluation of PD itself that is so important but also the correct classification of companies according to their PD level ("good" or "bad" companies). There is very little consideration about possible adjustments of the credit risk scale, as usually the American scale is adopted with no changes which seems incorrect.This paper stresses the importance of correct calibration of the credit rating scale. It should not be assumed (as it was in the past) that once a scale is defined it remains fixed and independent of the country. Therefore, the research carried out on Polish companies shows that the credit rating scale should be changed and the default point (i.e. "cut-off" point) should be higher than in the past. The author uses a modified classification matrix based on the probability of default. The paper compares the classification of quoted Polish companies according to their credit risk level (PD) with the actual occurrence of default when various default "cut-off" points are used. (original abstract)
- Dostępne w
- Biblioteka Główna Uniwersytetu Ekonomicznego w Krakowie
Biblioteka SGH im. Profesora Andrzeja Grodka
Biblioteka Główna Uniwersytetu Ekonomicznego w Katowicach
Biblioteka Główna Uniwersytetu Ekonomicznego w Poznaniu
Biblioteka Główna Uniwersytetu Ekonomicznego we Wrocławiu - Pełny tekst
- Pokaż
- Bibliografia
-
- ALTMAN E., RESTI A., SIRONI A., Default recovery rates in credit risk modelling: a review of the literature and empirical evidence, Economic Notes by Banca Monte dei Paschi di Siena SpA, 2004, 33 (2), 186.
- AMMANN M., Pricing Derivative Credit Risk, Springer, 1999, 47-65.
- BENOS A., PAPANASTASOPOULOS G., Extending the Merton model: A hybrid approach to assessingcredit quality, Mathematical and Computer Modelling, Volume 2007, 46 (1-2), 47-68.
- BYSTRÖM H., A flexible way of modelling default risk, 2004, http://www.business.uts.edu.au/qfrc/research/research_papers/rp112.pdf
- BYSTRÖM H., KWON K., A simple continuous measure of credit risk, working paper, October 24, 2003, http://ideas.repec.org/a/eee/finana/v16y2007i5p508-523.html
- ELIZALDE A., Credit risk models. I. Default correlations in intensity models, December 2005, working paper http://www.abelelizalde.com
- FRYE J., Depressing recoveries, Risk, 2000, November, 108-111.
- HULL J.C., Options. Futures and Other Derivatives. Prentice Hall, Upper Saddle River, New Jersey, 2003, 622.
- HULL J.C., NELKEN I., WHITE A., Merton's model, credit risk, and volatility skews, Journal of CreditRisk, 2004, 1 (1), 3-28.
- JAJUGA K., O systematyzacji modeli ryzyka kredytowego, [in:] Upadłość przedsiębiorstw w Polscew latach 1990-2003. Teoria i praktyka, D. Appenzeller (Ed.), Zeszyty Naukowe AE Poznań nr 49, Poznań, 2004, 119.
- LELAND H.E., Prediction of default probabilities in structural models of debt, Journal of Investment Management, Second Quarter 2004, 2 (2), 4.
- NICKELL P., PERRAUDIN W., VAROTTO S., Rating-based credit risk modeling: an empirical analysis, working paper, May 6, 2005, http://www.defaultrisk.com/pp_model_10.htm
- SAUNDERS A., Metody pomiaru ryzyka kredytowego. KMV, VAR, CreditMetrics, LAS, RAROC, CreditRisk+, Oficyna Ekonomiczna, Kraków, 2001, 37.
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- WÓJCIAK M., Metody oceny ryzyka kredytowego, PWE, Warszawa, 2007, 84.
- Cytowane przez
- ISSN
- 2081-8858
- Język
- eng
- URI / DOI
- http://dx.doi.org/10.5277/ord120305
