Financial liability stress tests: an approach based on the use of a rating migration matrix

Author:

Kleszcz Klaudia1,Nehrebecka Natalia1ORCID

Affiliation:

1. Faculty of Economic Sciences , University of Warsaw , Warsaw , Poland

Abstract

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.

Publisher

Walter de Gruyter GmbH

Subject

General Earth and Planetary Sciences,General Environmental Science

Cited by 1 articles. 订阅此论文施引文献 订阅此论文施引文献,注册后可以免费订阅5篇论文的施引文献,订阅后可以查看论文全部施引文献

1. Sovereign Default Forecasting in the Era of the COVID-19 Crisis;Journal of Risk and Financial Management;2021-10-15

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