2013
DOI: 10.1080/14697688.2011.593542
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Predicting issuer credit ratings using generalized estimating equations

Abstract: The dynamic ordered probit model (DOPM) with autocorrelation structure is proposed as a model for credit risk forecasting. It is more appropriate than the DOPM with independence structure, because correlations among repeated credit ratings have been observed by Altman and Kao [J. Financ. Anal., 1992, 48, 64-75] and Parnes [Financ. Res. Lett., 2007, 4, 217-226]. The unknown parameters in the proposed model are estimated by a generalized estimating equations (GEE) approach (Lipsitz et al. [Statist. Med., 1994, … Show more

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Cited by 7 publications
(2 citation statements)
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“…Both studies show that several predictors are important in forecasting credit ratings such as the size of the company, balance sheet position, stock market performance and industry effects. In addition, modelling long-term ratings in a dynamic setting has shown improvements in forecasting (see Hwang, 2011 andHwang, 2013).…”
Section: Related Literaturementioning
confidence: 99%
“…Both studies show that several predictors are important in forecasting credit ratings such as the size of the company, balance sheet position, stock market performance and industry effects. In addition, modelling long-term ratings in a dynamic setting has shown improvements in forecasting (see Hwang, 2011 andHwang, 2013).…”
Section: Related Literaturementioning
confidence: 99%
“…The evaluation of credit rating may be performed via several different quantitative methods (Hwang 2013a, 2013b, Pfeuffer et al 2019, Doumpos et al 2015, Doumpos and Zopounidis 2011, Angilella and Mazzù 2017. However, financial (quantitative) data are often insufficient or even unreliable for measuring the credit rating of an enterprise where judgmental, qualitative information is to be considered (Angilella and Mazzù 2015).…”
Section: Introductionmentioning
confidence: 99%