haku: @all credit rating / yhteensä: 50
viite: 47 / 50
| Tekijä: | Somerville, R. A. Taffler, R. J. |
| Otsikko: | LDC Credit-risk Forecasting and Banker Judgement |
| Lehti: | Journal of Business Finance and Accounting
2001 : VOL. 28:3-4, p. 447-464 |
| Asiasana: | CREDIT RISK FORECASTING BANKS |
| Kieli: | eng |
| Tiivistelmä: | 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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