English, Article edition: Mapping corporate drift towards default: Part 2: a hybrid credit-scoring model Arindam Bandyopadhyay

User activity

Share to:
 
Bookmark: http://trove.nla.gov.au/version/8888
Physical Description
  • article
Language
  • English

Edition details

Title
  • Mapping corporate drift towards default: Part 2: a hybrid credit-scoring model
Author
  • Arindam Bandyopadhyay
Physical Description
  • article
Notes
  • Purpose – The purpose of this paper is to develop a hybrid logistic model by using the inputs obtained from BSM equity-based option model described in the companion paper, “Mapping corporate drift towards default – Part 1: a market-based approach” that can more accurately predict corporate default. Design/​methodology/​approach – In a set of logistic regressions, the ability of the market value of assets, asset volatility and firm's leverage structure measures to predict future default is investigated. Next, a check is made as to whether accounting variables and other firm specific characteristics can provide additional significant information in assessing the real world credit quality of a firm in a multifactor model Findings – From analysis of 150 publicly-traded Indian corporates over the year 1998 to 2005 it was found that in a volatile equity market like India, one needs to enhance the BSM model with other accounting information from financial statements and develop hybrid models. The results in this paper indicate that a mix of asset volatility, market value of asset and firm's leverage structure along with other financial and non financial factors can give us a more accurate prediction of corporate default than the ratio-based reduced form model. Originality/​value – The hybrid model developed in this paper allows us to integrate information from the structural model as well as profitability of firms, liquidity risk, other firm specific supplementary information and macroeconomic factors to predict real world corporate distress potential through a multivariate analysis.
  • Credit, Emerging markets, India, Modelling, Risk analysis
  • RePEc:eme:jrfpps:v:8:y:2007:i:1:p:46-55
Language
  • English
Contributed by
OAIster

Get this edition

  • Set up My libraries

    How do I set up "My libraries"?

    In order to set up a list of libraries that you have access to, you must first login or sign up. Then set up a personal list of libraries from your profile page by clicking on your user name at the top right of any screen.

  • All (1)
  • Unknown (1)
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.

User activity


e.g. test cricket, Perth (WA), "Parkes, Henry"

Separate different tags with a comma. To include a comma in your tag, surround the tag with double quotes.

Be the first to add a tag for this edition

Be the first to add this to a list

Comments and reviews

What are comments? Add a comment

No user comments or reviews for this version

Add a comment