Financial liability stress tests: an approach based on the use of a rating migration matrix

Kleszcz Klaudia and Natalia Nehrebecka ()
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Kleszcz Klaudia: Faculty of Economic Sciences, University of Warsaw, Warsaw, Poland

Central European Economic Journal, 2020, vol. 7, issue 54, 12-32

Abstract: The article addresses the issue of stress testing based on the probability of bankruptcy and a rating migration matrix. The analysis is conducted on a sample of listed companies in Poland in the years 1998–2016, and the forecasts are made for the years 2016–2018. Particular attention is paid to how the variable on which rating migration matrices are developed is defined. Stress tests are carried out on variables derived from rating migration matrices and economic indicators. The study provides information on the methodology for stress testing.

Keywords: stress tests; bankruptcy risk; rating migration matrices; stress scenario (search for similar items in EconPapers)
JEL-codes: G11 G21 G22 G28 G32 (search for similar items in EconPapers)
Date: 2020
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:vrs:ceuecj:v:7:y:2020:i:54:p:12-32:n:2

DOI: 10.2478/ceej-2020-0002

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