Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/324515 
Year of Publication: 
2020
Citation: 
[Journal:] Central European Economic Journal (CEEJ) [ISSN:] 2543-6821 [Volume:] 7 [Issue:] 54 [Year:] 2020 [Pages:] 12-32
Publisher: 
Sciendo, Warsaw
Abstract: 
The article addresses the issue of stress testing based on the probability of bankruptcy and a rating migration matrix. The analysis is conducted on a sample of listed companies in Poland in the years 1998-2016, and the forecasts are made for the years 2016-2018. Particular attention is paid to how the variable on which rating migration matrices are developed is defined. Stress tests are carried out on variables derived from rating migration matrices and economic indicators. The study provides information on the methodology for stress testing.
Subjects: 
stress tests
bankruptcy risk
rating migration matrices
stress scenario
JEL: 
G11
G21
G22
G28
G32
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by-nc-nd Logo
Document Type: 
Article

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