Rating Models for Non-Financial Companies
Abstract
This paper examines the development and application of econometric rating models for non-financial companies within the framework of Basel II requirements. The study focuses on constructing internal rating systems using ordered probit models based on financial, market, and macroeconomic indicators.
Using a dataset of 215 companies from 39 countries, the research analyzes the impact of variables such as profitability, capital structure, market volatility, and macroeconomic conditions on corporate credit ratings. The study also compares rating methodologies of major agencies, particularly Standard & Poor’s and Moody’s.
The results show that company size, profitability, and macroeconomic factors significantly influence ratings, while affiliation with developing countries is associated with lower rating levels. The proposed models demonstrate reasonable predictive accuracy and can be applied in risk management and early warning systems.
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