Ιδρυματικό Αποθετήριο
Πολυτεχνείο Κρήτης
Πολυτεχνείο Κρήτης
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| URI | http://purl.tuc.gr/dl/dias/A1CCB57A-BCE7-4E3C-BA88-1D76B1A2342A | - |
| Αναγνωριστικό | http://link.springer.com/article/10.1007/s10614-005-6412-4 | - |
| Αναγνωριστικό | https://doi.org/10.1007/s10614-005-6412-4 | - |
| Γλώσσα | en | - |
| Μέγεθος | 15 pages | en |
| Τίτλος | Developing and testing models for replicating credit ratings: a multicriteria approach | en |
| Δημιουργός | Michael Doumpos | en |
| Δημιουργός | Δουμπος Μιχαλης | el |
| Δημιουργός | Pasiouras Fotios | en |
| Δημιουργός | Πασιουρας Φωτιος | el |
| Εκδότης | Kluwer | en |
| Περίληψη | 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 |
| Τύπος | Peer-Reviewed Journal Publication | en |
| Τύπος | Δημοσίευση σε Περιοδικό με Κριτές | el |
| Άδεια Χρήσης | http://creativecommons.org/licenses/by/4.0/ | en |
| Ημερομηνία | 2015-11-18 | - |
| Ημερομηνία Δημοσίευσης | 2005 | - |
| Θεματική Κατηγορία | Credit rating | en |
| Θεματική Κατηγορία | Classification | en |
| Θεματική Κατηγορία | Model testing | en |
| Θεματική Κατηγορία | Multicriteria decision aid | en |
| Βιβλιογραφική Αναφορά | 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 |
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