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  5. Assessing corporate risk: a PD model based on credit ratings
Please use this identifier to cite or link to this item: bibliotecadigital.pre.economia.gov.br/handle/123456789/527535
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DC FieldValueLanguage
dc.creatorCardoso, Vicente de Souza-
dc.creatorGuimarães, André Luiz de Souza-
dc.creatorMacedo, Henrique Fernandes-
dc.creatorLima, Jorge Cláudio Cavalcante de Oliveira-
dc.date.accessioned2014-07-16T20:33:13Z-
dc.date.accessioned2018-03-19T16:13:21Z-
dc.date.accessioned2022-05-12T03:56:02Z-
dc.date.available2014-07-16T20:33:13Z-
dc.date.available2018-03-19T16:13:21Z-
dc.date.available2022-05-12T03:56:02Z-
dc.date.created2014-07-16T20:33:13Z-
dc.date.created2018-03-19T16:13:21Z-
dc.date.issued2013-
dc.identifierhttp://web.bndes.gov.br/bib/jspui/handle/1408/1701-
dc.identifier.urihttp://bibliotecadigital.economia.gov.br/handle/123456789/527535-
dc.description.abstractThis 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.-
dc.languageen-
dc.subjectAvaliação de riscos-
dc.subjectRisco (Economia)-
dc.subjectAgências de classificação de risco (Finanças)-
dc.subjectSistemas de avaliação de risco de crédito (Finanças)-
dc.subjectCréditos - Avaliação-
dc.subjectIndústrias - Créditos - Avaliação-
dc.subjectRisk assessment-
dc.subjectRisk-
dc.subjectRating agencies (Finance)-
dc.subjectCredit scoring systems-
dc.subjectCredit ratings-
dc.subjectIndustries - Credit ratings-
dc.titleAssessing corporate risk: a PD model based on credit ratings-
dc.typeArtigo-
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