IDEAS home Printed from https://ideas.repec.org/p/zbw/iwhdps/iwh-6-05.html
   My bibliography  Save this paper

Stochastische Unternehmensmodelle als Kern innovativer Ratingsysteme

Author

Listed:
  • Blum, Ulrich
  • Gleißner, Werner
  • Leibbrand, Frank

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.

Suggested Citation

  • Blum, Ulrich & Gleißner, Werner & Leibbrand, Frank, 2005. "Stochastische Unternehmensmodelle als Kern innovativer Ratingsysteme," IWH Discussion Papers 6/2005, Halle Institute for Economic Research (IWH).
    • Handle: RePEc:zbw:iwhdps:iwh-6-05
    as

    Download full text from publisher

    File URL: https://www.econstor.eu/bitstream/10419/23745/1/6-05.pdf
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. William F. Sharpe, 1963. "A Simplified Model for Portfolio Analysis," Management Science, INFORMS, vol. 9(2), pages 277-293, January.
    2. 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.
    3. 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.
    4. Bemmann, Martin, 2005. "Verbesserung der Vergleichbarkeit von Schätzgüteergebnissen von Insolvenzprognosestudien," Dresden Discussion Paper Series in Economics 08/05, Technische Universität Dresden, Faculty of Business and Economics, Department of Economics.
    5. Friedrich, B. Cornelia, 2004. "Competition and the Evolution of Market Structure in the E-conomy : A Simulation Analysis," Dresden Discussion Paper Series in Economics 02/04, Technische Universität Dresden, Faculty of Business and Economics, Department of Economics.
    6. Ulrich Blum & Frank Leibbrand, 2003. "Rating als Strategie- und Risikoberatung für kleine und mittlere Unternehmen," ifo Dresden berichtet, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 10(03), pages 26-36, 06.
    7. Ulrich Blum & Frank Leibbrand, 2003. "Rating als Strategie- und Risikoberatung für kleine und mittlere Unternehmen," ifo Dresden berichtet, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 10(03), pages .26-36, June.
    8. 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.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Thomas Günther & Werner Gleißner & Christian Walkshäusl, 2020. "What happened to financially sustainable firms in the Corona crisis?," Sustainability Nexus Forum, Springer, vol. 28(3), pages 83-90, December.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Stefano Caselli & Gino Gandolfi & Maria Gaia Soana, 2016. "The Impact of Sovereign Rating News on European Banks," European Financial Management, European Financial Management Association, vol. 22(1), pages 142-167, January.
    2. Hayette Gatfaoui, 2010. "Investigating the dependence structure between credit default swap spreads and the U.S. financial market," Annals of Finance, Springer, vol. 6(4), pages 511-535, October.
    3. Song, Wei-Ling & Uzmanoglu, Cihan, 2016. "TARP announcement, bank health, and borrowers’ credit risk," Journal of Financial Stability, Elsevier, vol. 22(C), pages 22-32.
    4. Hannart, Alexis & Naveau, Philippe, 2014. "Estimating high dimensional covariance matrices: A new look at the Gaussian conjugate framework," Journal of Multivariate Analysis, Elsevier, vol. 131(C), pages 149-162.
    5. Heidari , Hassan & Refah-Kahriz, Arash & Hashemi Berenjabadi, Nayyer, 2018. "Dynamic Relationship between Macroeconomic Variables and Stock Return Volatility in Tehran Stock Exchange: Multivariate MS ARMA GARCH Approach," Quarterly Journal of Applied Theories of Economics, Faculty of Economics, Management and Business, University of Tabriz, vol. 5(2), pages 223-250, August.
    6. Hanke, Michael & Stöckl, Sebastian & Weissensteiner, Alex, 2020. "Political event portfolios," Journal of Banking & Finance, Elsevier, vol. 118(C).
    7. Camille Baulant & Nivine Albouz, 2021. "Has financial globalization since 1990 reduced income inequality: the role of rating announcements on the volatility and the returns of the Brazilian Financial Market [Les annonces de notation souv," Working Papers hal-03258994, HAL.
    8. Winnie P. H. Poon & Dorla A. Evans, 2013. "Regulation Fair Disclosure's Effect on the Information Content of Bond Rating Changes," European Financial Management, European Financial Management Association, vol. 19(4), pages 775-800, September.
    9. LOFGREN Asa & MILLOCK Katrin & NAUGES Céline, 2007. "Using Ex Post Data to Estimate the Hurdle Rate of Abatement Investments - An application to the Swedish Pulp and Paper Industry and Energy Sector," LERNA Working Papers 07.06.227, LERNA, University of Toulouse.
    10. Götze, Tobias & Gürtler, Marc, 2020. "Hard markets, hard times: On the inefficiency of the CAT bond market," Journal of Corporate Finance, Elsevier, vol. 62(C).
    11. Afonso, António & Gomes, Pedro & Taamouti, Abderrahim, 2014. "Sovereign credit ratings, market volatility, and financial gains," Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 20-33.
    12. D'Arcangelis, Anna Maria & Rotundo, Giulia, 2021. "Herding in mutual funds: A complex network approach," Journal of Business Research, Elsevier, vol. 129(C), pages 679-686.
    13. Shahzad, Syed Jawad Hussain & Nor, Safwan Mohd & Kumar, Ronald Ravinesh & Mensi, Walid, 2017. "Interdependence and contagion among industry-level US credit markets: An application of wavelet and VMD based copula approaches," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 466(C), pages 310-324.
    14. Fuinhas, José Alberto & Marques, António Cardoso & Nogueira, David Coito, 2014. "Análise VAR dos índices bolsistas SP500, FTSE100, PSI20, HSI e IBOVESPA [Integration of the indexes SP500, FTSE100, PSI20, HSI and IBOVESPA: A VAR approach]," MPRA Paper 62092, University Library of Munich, Germany, revised 10 Feb 2015.
    15. Sharpe, William F, 1991. "Capital Asset Prices with and without Negative Holdings," Journal of Finance, American Finance Association, vol. 46(2), pages 489-509, June.
    16. repec:ers:journl:v:xxiv:y:2021:i:4:p:370-395 is not listed on IDEAS
    17. Bao, Te & Diks, Cees & Li, Hao, 2018. "A generalized CAPM model with asymmetric power distributed errors with an application to portfolio construction," Economic Modelling, Elsevier, vol. 68(C), pages 611-621.
    18. Ho, Amy Yueh-Fang & Liang, Hsin-Yu & Jian, Jhih-Shan, 2023. "How does national culture affect the spillover effects of sovereign ratings on corporate ratings?," International Review of Economics & Finance, Elsevier, vol. 84(C), pages 671-691.
    19. Agliardi, Elettra & Koussis, Nicos, 2013. "Optimal capital structure and the impact of time-to-build," Finance Research Letters, Elsevier, vol. 10(3), pages 124-130.
    20. Francesco Lautizi, 2015. "Large Scale Covariance Estimates for Portfolio Selection," CEIS Research Paper 353, Tor Vergata University, CEIS, revised 07 Aug 2015.
    21. Mariya Paskaleva & Ani Stoitsova-Stoykova, 2017. "Linkages and Efficiency Between iTraxx Europe and Financial Market Dynamics in South-East Europe Capital Markets in Post-crisis Period," International Journal of Economics and Financial Issues, Econjournals, vol. 7(3), pages 172-179.

    More about this item

    Keywords

    Rating; Sachsen; Unternehmensmodellierung; Stochastik; Risiko; Erfolgsfaktoren; rating; Saxony; modelling of enterprises; stochastics; risk; sucsess factors;
    All these keywords.

    JEL classification:

    • M4 - Business Administration and Business Economics; Marketing; Accounting; Personnel Economics - - Accounting
    • L6 - Industrial Organization - - Industry Studies: Manufacturing
    • G2 - Financial Economics - - Financial Institutions and Services

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:zbw:iwhdps:iwh-6-05. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: ZBW - Leibniz Information Centre for Economics (email available below). General contact details of provider: https://edirc.repec.org/data/iwhhhde.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.