Financial liability stress tests: an approach based on the use of a rating migration matrix
Financial liability stress tests: an approach based on the use of a rating migration matrix
Author(s): Klaudia Kleszcz, Natalia NehrebeckaSubject(s): Methodology and research technology, Transformation Period (1990 - 2010), Present Times (2010 - today), Accounting - Business Administration
Published by: Wydawnictwa Uniwersytetu Warszawskiego
Keywords: stress tests; bankruptcy risk; rating migration matrices; stress scenario;
Summary/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.
Journal: Central European Economic Journal
- Issue Year: 7/2020
- Issue No: 54
- Page Range: 12-32
- Page Count: 21
- Language: English