Corporate default prediction with financial ratios and macroeconomic variables

Loading...
Thumbnail Image

URL

Journal Title

Journal ISSN

Volume Title

School of Business | Master's thesis

Date

2013

Major/Subject

Economics
Kansantaloustiede

Mcode

Degree programme

Language

en

Pages

57

Series

Abstract

Abstract: In this master thesis paper I study corporate default prediction with firm specific financial ratios and macroeconomic variables. I show how regressions default prediction ability increases when macroeconomic variables are added into the model of financial ratios. In analysis I have financial ratio data from period 1999 to 2011 from industries of construction and retail including 35000 firms and over 200000 observations. The data is from Suomen Asiakastieto, Tilastokeskus and Suomen Pankki. In measuring the goodness of the models I use different analysis of the predicted values like five levels risk classification. This risk classification can also be thought as credit rating.

Description

Keywords

corporate, default, prediction, credit, rating, risk, classification, macroeconomic

Other note

Citation