Absolute & Relative Credit Quality Assessment
(2016) FMS820 20161Mathematical Statistics
- Abstract
- The lack of availability and relevance of both credit ratings and traded
market instruments, forces nancial institutions to nd alternative ways to
validate the credit qualities of their counterparties. To address this issue,
existing bankruptcy prediction models are evaluated and re-estimated. Furthermore
a new model is constructed that outperforms the previous models
in terms of default classication. By adjusting for the rarity of defaults
and the utilised sampling techniques, the output of the constructed model
becomes more accurate and less biased than previous models. The model
is also validated to be rank consistent with US and Nordic S&P ratings as
well as with spreads of Credit Default Swaps on the US market.
Please use this url to cite or link to this publication:
http://lup.lub.lu.se/student-papers/record/8883825
- author
- Karlsson, Mattias and Dieden Sandell, Svante
- supervisor
- organization
- course
- FMS820 20161
- year
- 2016
- type
- H2 - Master's Degree (Two Years)
- subject
- keywords
- Credit Quality Assessment, Default & Bankruptcy Prediction, Altman Z-score, Ohlson O-score, Logistic Regression, Rare-Event Bias Correction.
- language
- English
- id
- 8883825
- date added to LUP
- 2016-06-21 11:49:20
- date last changed
- 2016-06-21 11:49:20
@misc{8883825, abstract = {{The lack of availability and relevance of both credit ratings and traded market instruments, forces nancial institutions to nd alternative ways to validate the credit qualities of their counterparties. To address this issue, existing bankruptcy prediction models are evaluated and re-estimated. Furthermore a new model is constructed that outperforms the previous models in terms of default classication. By adjusting for the rarity of defaults and the utilised sampling techniques, the output of the constructed model becomes more accurate and less biased than previous models. The model is also validated to be rank consistent with US and Nordic S&P ratings as well as with spreads of Credit Default Swaps on the US market.}}, author = {{Karlsson, Mattias and Dieden Sandell, Svante}}, language = {{eng}}, note = {{Student Paper}}, title = {{Absolute & Relative Credit Quality Assessment}}, year = {{2016}}, }