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    题名: 以重複事件分析法分析信用評等
    Recurrent Event Analysis of Credit Rating
    作者: 陳奕如
    Chen, Yi Ru
    贡献者: 謝淑貞
    Shieh, Shwu Jane
    陳奕如
    Chen, Yi Ru
    关键词: 信用評等
    重複事件分析法
    Cox比例風險模型
    credit rating
    recurrent event analysis
    Cox proportional hazard model
    general class of semiparametric model
    Z-Score model
    日期: 2008
    上传时间: 2016-05-09 11:26:14 (UTC+8)
    摘要: This thesis surveys the method of extending Cox proportional hazard models (1972) and the general class of semiparametric model (2004) in the upgrades or downgrades of credit ratings by S&P. The two kinds of models can be used to modify the relationship of covariates to a recurrent event data of upgrades or downgrades. The benchmark credit-scoring model with a quintet of financial ratios which is inspired by the Z-Score model is employed. These financial ratios include measures of short-term liquidity, leverage, sales efficiency, historical profitability and productivity. The evidences of empirical results show that the financial ratios of historical profitability, leverage, and sales efficiency are significant factors on the rating transitions of upgrades. For the downgrades data setting, the financial ratios of short-term liquidity, productivity, and leverage are significant factors in the extending Cox models, whereas only the historical profitability is significant in the general class of semiparametric model. The empirical analysis of S&P credit ratings provide evidence supporting that the transitions of credit ratings are related to some determined financial ratios under these new econometrics methods.
    參考文獻: 1. Altman, E.I., ‘Financial ratios, discriminant analysis and prediction of corporate bankruptcy’, Journal of Finance, vol. 23 (1968), 589-609.
    2. Altman, E.I., Rijken, H.A., ‘How rating agencies achieve rating stability’, Journal of Banking & Finance, vol. 28 (2004), 2679-2714.
    3. Baker, H.K., Mansi, S.A., ‘Assessing credit rating agencies by bond issuers and institutional investors’, Journal of Business Finance & Accounting, vol. 29 (2002), 1367-1399.
    4. Blume, M.E., Lim, F. and Mackinlay, C., ‘The declining credit quality of U.S. corporate debt: Myth or reality?’, Journal of Finance, vol. 53 (1998), 1389-1413.
    5. Cox, D.R., ‘Regression models and life-tables’ (with discussion), Journal of the
    Royal Statistical Society, Series B, 34 (1972), 187-220.
    6. Cox, D.R., ‘Partial Likelihood’, Biometrika (1975), 62, 269-276.
    7. Horrigan J.O., ‘The determination of long term credit standing with financial
    ratios’, Journal of Accounting Research, Supplement (1966), 44-62.
    8. Kaplan, R.S., Urwitz, G., ‘Statistical models on bond ratings: A methodological inquiry’, Journal of business, vol. 52 (1979), 231-261.
    9. Peña, E.A., Hollander, M., ‘Models for recurrent events in reliability and survival
    analysis’, Soyer, R., Mazzuchi, T., Singpurwalla, N. (Eds.), Mathematical
    Reliability: An Expository Perspective. Kluwer Academic Publishers, Dordrecht
    (2004), 105-123.
    10. Peña, E.A., Slate, E.H., and Gonzalez, J.R., ‘Semiparametric inference for a general class of models for recurrent events’, Journal of Statistical Planning and Inference, vol. 137 (2006), 1727-1747.
    11. Pinches, G.E., Mingo, K.A., ‘A multivariate analysis of industrial bond ratings’, Journal of Finance, vol. 28 (1973), 1-18.
    12. Pogue, T.F., Soldofsky, R.M., ‘What’s in a bond rating?’, Journal of Financial and Quantitative Analysis, vol. 4 (1969), 201-28.
    13. Rondeau, V., Commenges, D., and Joly, P., ‘Maximum penalized likelihood
    estimation in a Gamma-Frailty model’, Lifetime Data Analysis, vol. 9 (2003),
    139-153.
    14. Shin, Y.S., Moore, W.T., ‘Explaining credit rating differences between Japanese and U.S. agencies’, Review of Financial Economics, vol. 12 (2003), 327-344.
    15. Therneau, T.M., Grambsch, P.M., ‘Modeling Survival Data: Extending the Cox Model’, Springer, (2000).
    16. Wei, L.J., Lin, D.Y., and Weissfeld, L., ‘Regression Analysis of Multivariate
    Incomplete Failure Time Data by Modeling Marginal Distributions’, Journal of the
    American Statistical Association, vol. 84 (1989), 1065-1073.
    17. Wei, L.J., Lin, D.Y., ‘The robust inference for the Cox proportional hazards
    model’, Journal of the American Statistical Association, vol. 84 (1989), 1074-1078.
    描述: 碩士
    國立政治大學
    國際經營與貿易學系
    95351016
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G0095351016
    数据类型: thesis
    显示于类别:[國際經營與貿易學系 ] 學位論文

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