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

Abstracts

EN

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.

Keywords

EN

stress tests; bankruptcy risk; rating migration matrices; stress scenario

• Publisher: Uniwersytet Warszawski. Wydawnictwo Naukowe Wydziału Zarządzania
• Journal: Central European Economic Journal
• Year: 2020
• Volume: 7
• Issue: 54

Dates

published

2020-09-09

Contributors

other

Klaudia Kleszcz

• Faculty of Economic Sciences University of Warsaw Warsaw, Poland

other

Natalia Nehrebecka

• Faculty of Economic Sciences University of Warsaw Warsaw, Poland

Identifiers

DOI

10.2478/ceej-2020-0002