2009 | Metody matematyczne, ekonometryczne i komputerowe w finansach i ubezpieczeniach 2007 | 71--81
The Discriminative Ability of Financial Ratios to Evaluate the Credit Risk Level
The aim of the paper is to select those financial ratios in satisfactory way (sufficiently) discriminate the companies of a good and bad standing. In the paper the following research hypotheses were stated: It is possible to select those financial ratios which discriminate the companies due to the credit risk level. The selected ratios vary in times of economic recession and growth.Due to this fact the paper authors search for such variables (financial rations) which achieve certain levels depending on the probability of default levels (PD) n the basis of MKMV model. This approach will allow for determining the best predictors of default risk in consequence it will allow for setting limits for particular ratios, which could be used in e.g. logit, probit and discriminative analysis etc. This approach includes not only the situation when the company is solvent or bankrupt but a wide range of different credit risk levels in relation to the company's standing. (fragment of text)
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