Stochastische Unternehmensmodelle als Kern innovativer Ratingsysteme

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Stochastische Unternehmensmodelle als Kern innovativer Ratingsysteme

Author Info

Ulrich Blum
Werner Gleißner
Frank Leibbrand

Abstract

Auf der Grundlage einer Stichprobe von 105 sächsischen Unternehmen wird deren Zukunftsfähigkeit mit Hilfe einer neuen Ratingtechnologie analysiert. Diese basiert – neben klassischen Analysewerkzeugen – auf einer direkten Einbeziehung von Risikogesichtspunkten und einer stochastischen Unternehmensmodellierung. Die Ergebnisse belegen, daß das Verfahren gegenüber den bisherigen Ansätzen zusätzlichen und ökonomisch bedeutsamen Erklärungsgehalt besitzt. Über den Aspekt Basel-II hinaus ist es insbesondere möglich, langfristige strategisch angelegte Entwicklungsprozesse nachzuzeichnen.

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Paper provided by Halle Institute for Economic Research in its series IWH Discussion Papers with number 6-05.

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Date of creation: Dec 2005
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Handle: RePEc:iwh:dispap:6-05

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Find related papers by JEL classification:
G2 - Financial Economics - - Financial Institutions and Services
L6 - Industrial Organization - - Industry Studies: Manufacturing
M4 - Business Administration and Business Economics; Marketing; Accounting - - Accounting

This paper has been announced in the following NEP Reports:

NEP-ALL-2006-01-01 (All new papers)

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

Ulrich Blum & Frank Leibbrand, 2003. "Rating als Strategie- und Risikoberatung für kleine und mittlere Unternehmen," ifo Dresden berichtet, Ifo Institute for Economic Research at the University of Munich, vol. 10(03), pages 26-36, 06. [Downloadable!]
Norden, Lars & Weber, Martin, 2004. "Informational efficiency of credit default swap and stock markets: The impact of credit rating announcements," Journal of Banking & Finance, Elsevier, vol. 28(11), pages 2813-2843, November. [Downloadable!] (restricted)
Weber, Martin & Krahnen, Jan Pieter & Voßmann, Frank, 1998. "Risikomessung im Kreditgeschäft: Eine empirische Analyse bankinterner Ratingverfahren," Sonderforschungsbereich 504 Publications 98-45, Sonderforschungsbereich 504, Universität Mannheim & Sonderforschungsbereich 504, University of Mannheim.
Norden, Lars & Weber, Martin, 2004. "Informational Efficiency of Credit Default Swap and Stock Markets: The Impact of Credit Rating Announcements," CEPR Discussion Papers 4250, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
Hergen Frerichs & Mark Wahrenburg, 2003. "Evaluating internal credit rating systems depending on bank size," Working Paper Series: Finance and Accounting 115, Department of Finance, Goethe University Frankfurt am Main. [Downloadable!]
Margaret Insley, 2003. "On the option to invest in pollution control under a regime of tradable emissions allowances," Canadian Journal of Economics, Canadian Economics Association, vol. 36(4), pages 860-883, November. [Downloadable!] (restricted)
Other versions:
- Margaret Insley, 2002. "On the option to invest in pollution control under a regime of tradable emissions allowances," Working Papers 02008, University of Waterloo, Department of Economics, revised Jan 2002.

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