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Absolute & Relative Credit Quality Assessment

Karlsson, Mattias and Dieden Sandell, Svante (2016) FMS820 20161
Mathematical 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:
author
Karlsson, Mattias and Dieden Sandell, Svante
supervisor
organization
course
FMS820 20161
year
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},
  keyword      = {Credit Quality Assessment,Default & Bankruptcy Prediction,Altman Z-score,Ohlson O-score,Logistic Regression,Rare-Event Bias Correction.},
  language     = {eng},
  note         = {Student Paper},
  title        = {Absolute & Relative Credit Quality Assessment},
  year         = {2016},
}