Institutional Repository
Technical University of Crete
Technical University of Crete
EN
|
EL
| URI | http://purl.tuc.gr/dl/dias/A1CCB57A-BCE7-4E3C-BA88-1D76B1A2342A | - |
| Identifier | http://link.springer.com/article/10.1007/s10614-005-6412-4 | - |
| Identifier | https://doi.org/10.1007/s10614-005-6412-4 | - |
| Language | en | - |
| Extent | 15 pages | en |
| Title | Developing and testing models for replicating credit ratings: a multicriteria approach | en |
| Creator | Michael Doumpos | en |
| Creator | Δουμπος Μιχαλης | el |
| Creator | Pasiouras Fotios | en |
| Creator | Πασιουρας Φωτιος | el |
| Publisher | Kluwer | en |
| Content Summary | Credit ratings issued by international agencies are extensively used in practice to support investment and financing decisions. Furthermore, a considerable portion of the financial research has been devoted to the analysis of credit ratings, in terms of their effectiveness, and practical implications. This paper explores the development of appropriate models to replicate the credit ratings issued by a rating agency. The analysis is based on a multicriteria classification method used in the development of the model. Special focus is laid on testing the out-of-time and out-of-sample effectiveness of the models and a comparison is performed with other parametric and non-parametric classification methods. The results indicate that using publicly available financial data, it is possible to replicate the credit ratings of the firms with a satisfactory accuracy. | en |
| Type of Item | Peer-Reviewed Journal Publication | en |
| Type of Item | Δημοσίευση σε Περιοδικό με Κριτές | el |
| License | http://creativecommons.org/licenses/by/4.0/ | en |
| Date of Item | 2015-11-18 | - |
| Date of Publication | 2005 | - |
| Subject | Credit rating | en |
| Subject | Classification | en |
| Subject | Model testing | en |
| Subject | Multicriteria decision aid | en |
| Bibliographic Citation | M. Doumpos and F. Pasiouras, "Developing and testing models for replicating credit ratings: a multicriteria approach," Computat. Econom., vol. 25, no. 4, pp. 327-341, Jun. 2005. doi:10.1007/s10614-005-6412-4 | en |
Copyright © DIAS 2013
