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CRI RMI - Nowy model oceny ryzyka wystąpienia trudności finansowych firm
[CRI RMI - New Approach to Default Probability Calculation]

Author

Listed:
  • Bławat, Bogusław

Abstract

In the presented paper, the author tried to introduce a new initiative in risk assessment of companies' financial difficulties, which arise in the RMI CRI in Singapore under the guidance of prof. Jin-Chuan Duan. This initiative and proposed based on Poisson process theoretical model is available on a public good principle, and its updated daily results published on the RMI website. The work consists of two parts, in which after the discussion of the main existing theoretical models, the assumptions, parameter estimation, calibration and selection of input data for the CRI RMI model is presented in detail.

Suggested Citation

  • Bławat, Bogusław, 2012. "CRI RMI - Nowy model oceny ryzyka wystąpienia trudności finansowych firm [CRI RMI - New Approach to Default Probability Calculation]," MPRA Paper 49121, University Library of Munich, Germany, revised Jan 2013.
    • Handle: RePEc:pra:mprapa:49121
    as

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    References listed on IDEAS

    as
    1. Duffie, Darrell & Saita, Leandro & Wang, Ke, 2007. "Multi-period corporate default prediction with stochastic covariates," Journal of Financial Economics, Elsevier, vol. 83(3), pages 635-665, March.
    2. Zhang, Guoqiang & Y. Hu, Michael & Eddy Patuwo, B. & C. Indro, Daniel, 1999. "Artificial neural networks in bankruptcy prediction: General framework and cross-validation analysis," European Journal of Operational Research, Elsevier, vol. 116(1), pages 16-32, July.
    3. Edward I. Altman, 1968. "The Prediction Of Corporate Bankruptcy: A Discriminant Analysis," Journal of Finance, American Finance Association, vol. 23(1), pages 193-194, March.
    4. James Weston, 2012. "An Improved Regulatory Framework for Credit Rating Agencies?," World Scientific Book Chapters, in: Risk Management Institute, Singapore (ed.), Global Credit Review, chapter 2, pages 11-37, World Scientific Publishing Co. Pte. Ltd..
    5. Duan, Jin-Chuan & Van Laere, Elisabeth, 2012. "A public good approach to credit ratings – From concept to reality," Journal of Banking & Finance, Elsevier, vol. 36(12), pages 3239-3247.
    6. James Weston, 2012. "An Improved Regulatory Framework for Credit Rating Agencies?," Global Credit Review (GCR), World Scientific Publishing Co. Pte. Ltd., vol. 2(01), pages 11-37.
    7. Edward I. Altman, 1968. "Financial Ratios, Discriminant Analysis And The Prediction Of Corporate Bankruptcy," Journal of Finance, American Finance Association, vol. 23(4), pages 589-609, September.
    8. Ohlson, Ja, 1980. "Financial Ratios And The Probabilistic Prediction Of Bankruptcy," Journal of Accounting Research, Wiley Blackwell, vol. 18(1), pages 109-131.
    9. Shumway, Tyler, 2001. "Forecasting Bankruptcy More Accurately: A Simple Hazard Model," The Journal of Business, University of Chicago Press, vol. 74(1), pages 101-124, January.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    dafault modeling; CRI RMI; Poisson process;
    All these keywords.

    JEL classification:

    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
    • G33 - Financial Economics - - Corporate Finance and Governance - - - Bankruptcy; Liquidation

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