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題名 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貢獻者 謝淑貞
Shieh, Shwu Jane
陳奕如
Chen, Yi Ru關鍵詞 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 上傳時間 9-May-2016 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 資料類型 thesis dc.contributor.advisor 謝淑貞 zh_TW dc.contributor.advisor Shieh, Shwu Jane en_US dc.contributor.author (Authors) 陳奕如 zh_TW dc.contributor.author (Authors) Chen, Yi Ru en_US dc.creator (作者) 陳奕如 zh_TW dc.creator (作者) Chen, Yi Ru en_US dc.date (日期) 2008 en_US dc.date.accessioned 9-May-2016 11:26:14 (UTC+8) - dc.date.available 9-May-2016 11:26:14 (UTC+8) - dc.date.issued (上傳時間) 9-May-2016 11:26:14 (UTC+8) - dc.identifier (Other Identifiers) G0095351016 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/94657 - dc.description (描述) 碩士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 國際經營與貿易學系 zh_TW dc.description (描述) 95351016 zh_TW dc.description.abstract (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. zh_TW dc.description.tableofcontents Index Abstract……………………………………………………………………………….1 1. Introduction……………………………………………………………………… ..3 2. Literature Review…………………………………………………………………..6 3. Methodology 3.1 Financial Analysis……………………………………………………………..10 3.2 Econometrics Methodology-Traditional……………………………………….12 3.3 Semiparametric General Class of Model…………………………………… 16 4. Empirical Analysis 4.1 Data……………………………………………………………………………21 4.2 Estimation of Models………………………………………………………….22 4.3 Upgrades………………………………………………………………………23 4.4 Downgrades……………………………………………………………………25 5. Conclusions………………………………………………………………………..27 References…………………………………………………………………………..28 Appendix……………………………………………………………………………..30 zh_TW dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0095351016 en_US dc.subject (關鍵詞) 信用評等 zh_TW dc.subject (關鍵詞) 重複事件分析法 zh_TW dc.subject (關鍵詞) Cox比例風險模型 zh_TW dc.subject (關鍵詞) credit rating en_US dc.subject (關鍵詞) recurrent event analysis en_US dc.subject (關鍵詞) Cox proportional hazard model en_US dc.subject (關鍵詞) general class of semiparametric model en_US dc.subject (關鍵詞) Z-Score model en_US dc.title (題名) 以重複事件分析法分析信用評等 zh_TW dc.title (題名) Recurrent Event Analysis of Credit Rating en_US dc.type (資料類型) thesis en_US dc.relation.reference (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. zh_TW
