Title: Alternative methods of default risk estimation
Authors: Patrycja Chodnicka - Jaworska - University of Warsaw (Poland) [presenting]
Abstract: The basic goal is to analyse macroeconomic and financial factors influencing the default risk by taking into account the business line and credit ratings. A research question has been put as follows: Are credit ratings estimated by the same methods for analysing the default risk, by taking into account the business lines? Two hypotheses are considered. The first one is: Countries risk has a significant influence on credit ratings changes. The second one is: The determinants of credit ratings assigned by major rating agencies are differentiated by taking the type of the business lines. For verification of these hypotheses the quarterly data form the Thomson Reuters database were collected. As dependent variables, the long term issuer credit ratings proposed by the recognizable CRAs from 1990 to 2017 period of time are used. The analysis has been prepared in the sub-samples according to: the type of credit rating, the domestic and foreign notes and the type of business lines.