標題: Predicting issuer credit ratings using a semiparametric method
作者: Hwang, Ruey-Ching
Chung, Huimin
Chu, C. K.
資訊管理與財務金融系 註:原資管所+財金所
Department of Information Management and Finance
關鍵字: Industry effect;Issuer credit rating;Market-driven variable;Ordered linear probit model;Ordered semiparametric probit model
公開日期: 1-一月-2010
摘要: This paper proposes a prediction method based on an ordered semiparametric probit model for credit risk forecast. The proposed prediction model is constructed by replacing the linear regression function in the usual ordered probit model with a semiparametric function, thus it allows for more flexible choice of regression function. The unknown parameters in the proposed prediction model are estimated by maximizing a local (weighted) log-likelihood function, and the resulting estimators are analyzed through their asymptotic biases and variances. A real data example for predicting issuer credit ratings is used to illustrate the proposed prediction method. The empirical result confirms that the new model compares favorably with the usual ordered probit model. (C) 2009 Elsevier B.V. All rights reserved.
URI: http://dx.doi.org/10.1016/j.jempfin.2009.07.007
http://hdl.handle.net/11536/14148
ISSN: 0927-5398
DOI: 10.1016/j.jempfin.2009.07.007
期刊: JOURNAL OF EMPIRICAL FINANCE
Volume: 17
Issue: 1
起始頁: 120
結束頁: 137
顯示於類別:期刊論文


文件中的檔案:

  1. 000273908200007.pdf