Combining accounting data and a structural model for predicting credit ratings: Empirical evidence from European listed firms
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DOI: 10.1016/j.jbankfin.2014.01.010
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Cited by:
- Lorena Caridad y López del Río & María de los Baños García-Moreno García & José Rafael Caro-Barrera & Manuel Adolfo Pérez-Priego & Daniel Caridad y López del Río, 2021. "Moody’s Ratings Statistical Forecasting for Industrial and Retail Firms," Economies, MDPI, vol. 9(4), pages 1-15, October.
- Modina, Michele & Pietrovito, Filomena & Gallucci, Carmen & Formisano, Vincenzo, 2023. "Predicting SMEs’ default risk: Evidence from bank-firm relationship data," The Quarterly Review of Economics and Finance, Elsevier, vol. 89(C), pages 254-268.
- Dimitris Andriosopoulos & Michalis Doumpos & Panos M. Pardalos & Constantin Zopounidis, 2019.
"Computational approaches and data analytics in financial services: A literature review,"
Journal of the Operational Research Society, Taylor & Francis Journals, vol. 70(10), pages 1581-1599, October.
- Dimitris Andriosopoulos & Michael Doumpos & Panos M. Pardalos & Constantin Zopounidis, 2019. "Computational approaches and data analytics in financial services: A literature review," Post-Print hal-02879937, HAL.
- Dimitris Andriosopoulos & Michael Doumpos & Panos M. Pardalos & Constantin Zopounidis, 2019. "Computational approaches and data analytics in financial services: A literature review," Post-Print hal-02880149, HAL.
- Charlie X. Cai & Paul B. McGuinness & Qi Zhang, 2018. "Credit scores and the performance of newly-listed stocks: an exploration of the Chinese A-share market," Review of Quantitative Finance and Accounting, Springer, vol. 51(1), pages 79-111, July.
- Carbone, Sante & Giuzio, Margherita & Kapadia, Sujit & Krämer, Johannes Sebastian & Nyholm, Ken & Vozian, Katia, 2021.
"The low-carbon transition, climate commitments and firm credit risk,"
Working Paper Series
2631, European Central Bank.
- Carbone, Sante & Giuzio, Margherita & Kapadia, Sujit & Krämer, Johannes Sebastian & Nyholm, Ken & Vozian, Katia, 2022. "The low-carbon transition, climate commitments and firm credit risk," Working Paper Series 409, Sveriges Riksbank (Central Bank of Sweden).
- Carlo Alberto Magni & Stefano Malagoli & Andrea Marchioni & Giovanni Mastroleo, 2020.
"Rating firms and sensitivity analysis,"
Journal of the Operational Research Society, Taylor & Francis Journals, vol. 71(12), pages 1940-1958, December.
- Magni, Carlo Alberto & Malagoli, Stefano & Marchioni, Andrea & Mastroleo, Giovanni, 2019. "Rating firms and sensitivity analysis," MPRA Paper 95265, University Library of Munich, Germany.
- Jiang, Cuiqing & Lyu, Ximei & Yuan, Yufei & Wang, Zhao & Ding, Yong, 2022. "Mining semantic features in current reports for financial distress prediction: Empirical evidence from unlisted public firms in China," International Journal of Forecasting, Elsevier, vol. 38(3), pages 1086-1099.
- Kadziński, Miłosz & Ciomek, Krzysztof, 2021. "Active learning strategies for interactive elicitation of assignment examples for threshold-based multiple criteria sorting," European Journal of Operational Research, Elsevier, vol. 293(2), pages 658-680.
- Balios, Dimitris & Thomadakis, Stavros & Tsipouri, Lena, 2016. "Credit rating model development: An ordered analysis based on accounting data," Research in International Business and Finance, Elsevier, vol. 38(C), pages 122-136.
- Yan Liu & Zhan-jiang Li & Xue-jun Zhen, 2018. "Empirical Study on Indicators Selection Model Based on Nonparametric -Nearest Neighbor Identification and R Clustering Analysis," Complexity, Hindawi, vol. 2018, pages 1-9, April.
- Sim, Jaehun & Kim, Chae-Soo, 2019. "The value of renewable energy research and development investments with default consideration," Renewable Energy, Elsevier, vol. 143(C), pages 530-539.
- Yukiko Konno & Yuki Itoh, 2016. "An alternative to the standardized approach for assessing credit risk under the Basel Accords," Cogent Economics & Finance, Taylor & Francis Journals, vol. 4(1), pages 1220119-122, December.
- Jaspreet Kaur & Madhu Vij & Ajay Kumar Chauhan, 2023. "Signals influencing corporate credit ratings—a systematic literature review," DECISION: Official Journal of the Indian Institute of Management Calcutta, Springer;Indian Institute of Management Calcutta, vol. 50(1), pages 91-114, March.
- Sermpinis, Georgios & Tsoukas, Serafeim & Zhang, Ping, 2018. "Modelling market implied ratings using LASSO variable selection techniques," Journal of Empirical Finance, Elsevier, vol. 48(C), pages 19-35.
- Alessandro Bitetto & Stefano Filomeni & Michele Modina, 2021. "Understanding corporate default using Random Forest: The role of accounting and market information," DEM Working Papers Series 205, University of Pavia, Department of Economics and Management.
- Doumpos, Michalis & Figueira, José Rui, 2019. "A multicriteria outranking approach for modeling corporate credit ratings: An application of the Electre Tri-nC method," Omega, Elsevier, vol. 82(C), pages 166-180.
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More about this item
Keywords
Credit ratings; Rating agencies; Black–Scholes–Merton model; Multi-criteria decision making;All these keywords.
JEL classification:
- C44 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Operations Research; Statistical Decision Theory
- G24 - Financial Economics - - Financial Institutions and Services - - - Investment Banking; Venture Capital; Brokerage
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
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