Consulting project for Banco Invest: development of internal rating model - comparison with Altman´s model

Detalhes bibliográficos
Autor(a) principal: Carreira, Rodrigo Dinis Coelho
Data de Publicação: 2020
Tipo de documento: Dissertação
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10362/114619
Resumo: This work develops a model for attributing internal ratings to Portuguese non-rated non-financial companies. Using an extensive data sets panning from 2002 through 2018, six financial ratios and one non-financial variable were used to predict the probability of bankruptcy in the horizons of one, two, three, four and five years, conditional on the survival until the previous year. For the prediction of the probabilities a logit model was used. These probabilities were later aggregated into a five-year bankruptcy probability that was used to map the company-year observations to the ratings of major rating companies, based on maintaining a similar rating distribution.
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spelling Consulting project for Banco Invest: development of internal rating model - comparison with Altman´s modelCredit riskDefault predictionRating mappingLogit modelDomínio/Área Científica::Ciências Sociais::Economia e GestãoThis work develops a model for attributing internal ratings to Portuguese non-rated non-financial companies. Using an extensive data sets panning from 2002 through 2018, six financial ratios and one non-financial variable were used to predict the probability of bankruptcy in the horizons of one, two, three, four and five years, conditional on the survival until the previous year. For the prediction of the probabilities a logit model was used. These probabilities were later aggregated into a five-year bankruptcy probability that was used to map the company-year observations to the ratings of major rating companies, based on maintaining a similar rating distribution.Pereira, João PedroCorreia, RuiRUNCarreira, Rodrigo Dinis Coelho2024-01-06T01:30:54Z2020-01-152020-01-062020-01-15T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisapplication/pdfhttp://hdl.handle.net/10362/114619TID:202495248enginfo:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2024-03-11T04:57:15Zoai:run.unl.pt:10362/114619Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-20T03:42:34.523066Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse
dc.title.none.fl_str_mv Consulting project for Banco Invest: development of internal rating model - comparison with Altman´s model
title Consulting project for Banco Invest: development of internal rating model - comparison with Altman´s model
spellingShingle Consulting project for Banco Invest: development of internal rating model - comparison with Altman´s model
Carreira, Rodrigo Dinis Coelho
Credit risk
Default prediction
Rating mapping
Logit model
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
title_short Consulting project for Banco Invest: development of internal rating model - comparison with Altman´s model
title_full Consulting project for Banco Invest: development of internal rating model - comparison with Altman´s model
title_fullStr Consulting project for Banco Invest: development of internal rating model - comparison with Altman´s model
title_full_unstemmed Consulting project for Banco Invest: development of internal rating model - comparison with Altman´s model
title_sort Consulting project for Banco Invest: development of internal rating model - comparison with Altman´s model
author Carreira, Rodrigo Dinis Coelho
author_facet Carreira, Rodrigo Dinis Coelho
author_role author
dc.contributor.none.fl_str_mv Pereira, João Pedro
Correia, Rui
RUN
dc.contributor.author.fl_str_mv Carreira, Rodrigo Dinis Coelho
dc.subject.por.fl_str_mv Credit risk
Default prediction
Rating mapping
Logit model
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
topic Credit risk
Default prediction
Rating mapping
Logit model
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
description This work develops a model for attributing internal ratings to Portuguese non-rated non-financial companies. Using an extensive data sets panning from 2002 through 2018, six financial ratios and one non-financial variable were used to predict the probability of bankruptcy in the horizons of one, two, three, four and five years, conditional on the survival until the previous year. For the prediction of the probabilities a logit model was used. These probabilities were later aggregated into a five-year bankruptcy probability that was used to map the company-year observations to the ratings of major rating companies, based on maintaining a similar rating distribution.
publishDate 2020
dc.date.none.fl_str_mv 2020-01-15
2020-01-06
2020-01-15T00:00:00Z
2024-01-06T01:30:54Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/masterThesis
format masterThesis
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10362/114619
TID:202495248
url http://hdl.handle.net/10362/114619
identifier_str_mv TID:202495248
dc.language.iso.fl_str_mv eng
language eng
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.source.none.fl_str_mv reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron:RCAAP
instname_str Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron_str RCAAP
institution RCAAP
reponame_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
collection Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository.name.fl_str_mv Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
repository.mail.fl_str_mv
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