search query: @author Somerville, R. A. / total: 2
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| Author: | Somerville, R. A. Taffler, R. J. |
| Title: | LDC Credit-risk Forecasting and Banker Judgement |
| Journal: | Journal of Business Finance and Accounting
2001 : VOL. 28:3-4, p. 447-464 |
| Index terms: | CREDIT RISK FORECASTING BANKS |
| Language: | eng |
| Abstract: | This paper uses Institutional Investor credit ratings of less-developed countries (LDCs) as indicators of banker judgement. The authors estimate a linear econometric model of the rating, and then they examine its predictive performance up to nine years out-of-sample. The authors conclude that the country-risk assessments of international banks can be validly replicated by a parsimonious econometric model, reflecting a simple combination of a small amount of data. Section 2 contains a discussion of variables and data. Section 3 contains the regression model of banker judgement, along with a review of related statistical issues. |
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