Increasing number of bankruptcy announcements means that even greater attention is being paid
to the correct evaluation of the probability of default (PD) and decisions made on the basis of it. Reliable
estimation of the likelihood of a company’s bankruptcy reduces risk, not only for the company
itself but also for all co-operating companies and financial institutions. The financial crisis has led to
a tightening up of the conditions for gaining finance from banks. However, it is not only the evaluation
of PD itself that is so important but also the correct classification of companies according to their
PD level (“good” or “bad” companies). There is very little consideration about possible adjustments
of the credit risk scale, as usually the American scale is adopted with no changes which seems incorrect.
This paper stresses the importance of correct calibration of the credit rating scale. It should not
be assumed (as it was in the past) that once a scale is defined it remains fixed and independent of the
country. Therefore, the research carried out on Polish companies shows that the credit rating scale
should be changed and the default point (i.e. “cut-off” point) should be higher than in the past. The
author uses a modified classification matrix based on the probability of default. The paper compares
the classification of quoted Polish companies according to their credit risk level (PD) with the actual
occurrence of default when various default “cut-off” points are used.
Ta witryna wykorzystuje pliki cookies do przechowywania informacji na Twoim komputerze. Pliki cookies stosujemy w celu świadczenia usług na najwyższym poziomie, w tym w sposób dostosowany do indywidualnych potrzeb. Korzystanie z witryny bez zmiany ustawień dotyczących cookies oznacza, że będą one zamieszczane w Twoim komputerze. W każdym momencie możesz dokonać zmiany ustawień dotyczących cookies
Informacja
SZANOWNI CZYTELNICY!
UPRZEJMIE INFORMUJEMY, ŻE BIBLIOTEKA FUNKCJONUJE W NASTĘPUJĄCYCH GODZINACH:
Wypożyczalnia i Czytelnia Główna: poniedziałek – piątek od 9.00 do 19.00