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Deutsche Bundesbank, Forschungszentrum, Frankfurt am Main >
Discussion Paper Series 2: Banking and Financial Studies, Deutsche Bundesbank >
Please use this identifier to cite or link to this item:
http://hdl.handle.net/10419/50001
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Full metadata record
| DC Field | | Value | | Language |
| dc.contributor.author | | Förstemann, Till | | en_US |
| dc.date.accessioned | | 2011-09-27 | | en_US |
| dc.date.accessioned | | 2011-09-29T15:46:16Z | | - |
| dc.date.available | | 2011-09-29T15:46:16Z | | - |
| dc.date.issued | | 2011 | | en_US |
| dc.identifier.isbn | | 978-3-86558-745-9 | | en_US |
| dc.identifier.uri | | http://hdl.handle.net/10419/50001 | | - |
| dc.description.abstract | | Group-specific estimations can significantly improve the predictive power of accountingbased rating models. This is shown using a binary logistic regression model applied to the Deutsche Bundesbank's USTAN dataset, which contains 300,000 financial statements provided by German companies for the years 1994 to 2002, i. e. throughout a complete business-cycle. The robustness and the representability of this result is verified through out-of-sample tests and through comparisons with a benchmark model which applies the variables of Moody's RiskCalcTM for Germany. | | en_US |
| dc.language.iso | | eng | | en_US |
| dc.publisher | | Deutsche Bundesbank Frankfurt am Main | | en_US |
| dc.relation.ispartofseries | | Discussion Paper Series 2: Banking and Financial Studies 2011,11 | | en_US |
| dc.subject.jel | | G21 | | en_US |
| dc.subject.jel | | G33 | | en_US |
| dc.subject.jel | | C52 | | en_US |
| dc.subject.ddc | | 330 | | en_US |
| dc.subject.keyword | | Credit Risk | | en_US |
| dc.subject.keyword | | Credit Rating | | en_US |
| dc.subject.keyword | | Probability of Default | | en_US |
| dc.subject.keyword | | Logistic Regression | | en_US |
| dc.title | | Improvements in rating models for the German corporate sector | | en_US |
| dc.type | | Working Paper | | en_US |
| dc.identifier.ppn | | 668914521 | | en_US |
| dc.rights | | http://www.econstor.eu/dspace/Nutzungsbedingungen | | en_US |
| dc.identifier.repec | | RePEc:zbw:bubdp2:201111 | | - |
| Appears in Collections: | | Discussion Paper Series 2: Banking and Financial Studies, Deutsche Bundesbank
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