The Discriminative Ability of Financial Ratios to Evaluate the Credit Risk Level

• Autorzy: Mirosław Wójciak , Aleksandra Wójcicka
• Języki publikacji: EN

Abstrakty

EN

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)

Słowa kluczowe

EN

Credit risk; Risk management; Scientific research

PL

Ryzyko kredytowe; Zarządzanie ryzykiem; Badania naukowe

• Czasopismo: Prace Naukowe / Akademia Ekonomiczna w Katowicach
• Rocznik: 2009
• Tom: Metody matematyczne, ekonometryczne i komputerowe w finansach i ubezpieczeniach 2007
• Strony: 71--81

Twórcy

autor

Mirosław Wójciak

• Akademia Ekonomiczna im. Karola Adamieckiego w Katowicach

autor

Aleksandra Wójcicka

• Akademia Ekonomiczna w Poznaniu

Bibliografia

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• Wójciak M., Wójcicka-Krenz A: The Influence of Specific Information on the Credit Risk Level in Advances in Data Analysis. Ed. R. Decker, H.-J. Lenz, Springer 2007.