Temat: migration matrices - Katalog OPAC zbiorów

Skocz do pozycji: 1.

Tytuł:: APPLICATION OF MIGRATION MATRICES TO RISK EVALUATION AND THEIR IMPACT ON PORTFOLIO VALUE
Autorzy:: Grzybowska, Urszula
Karwanski, Marek
Powiązania:: https://bibliotekanauki.pl/articles/453360.pdf
Data publikacji:: 2013
Wydawca:: Szkoła Główna Gospodarstwa Wiejskiego w Warszawie. Katedra Ekonometrii i Statystyki
Tematy:: migration matrices
portfolio value
market risk
credit risk
Opis:: Migration matrices are widely used in risk management. In particular, quality of financial products due to credit risk is described by assigning them to one of several rating categories. The probability of future rating is determined by a migration matrix. Portfolio’s value depends on the rating and on market states. To find an optimal portfolio one should consider migration matrices and the dynamics of market changes. The main goal of our research was to investigate the impact of both risks, market risk and credit risk on portfolio value. On a real portfolio we show that differences in migration matrices that result from the state of economy influence considerably credit risk and portfolio value.
Źródło:: Metody Ilościowe w Badaniach Ekonomicznych; 2013, 14, 1; 127-136
2082-792X
Pojawia się w:: Metody Ilościowe w Badaniach Ekonomicznych
Dostawca treści:: Biblioteka Nauki

Artykuł

Skocz do pozycji: 2.

Tytuł:: Financial liability stress tests: an approach based on the use of a rating migration matrix
Autorzy:: Kleszcz, Klaudia
Nehrebecka, Natalia
Powiązania:: https://bibliotekanauki.pl/articles/1356463.pdf
Data publikacji:: 2020-09-09
Wydawca:: Uniwersytet Warszawski. Wydział Nauk Ekonomicznych
Tematy:: stress tests
bankruptcy risk
rating migration matrices
stress scenario
Opis:: 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.
Źródło:: Central European Economic Journal; 2020, 7, 54; 12 - 32
2543-6821
Pojawia się w:: Central European Economic Journal
Dostawca treści:: Biblioteka Nauki

Artykuł

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