Using DEA and financial ratings for credit risk evaluation: an empirical analysis

被引：20

作者：

Iazzolino, Gianpaolo ^{[1
]}

Bruni, Maria Elena ^{[1
]}

Beraldi, Patrizia ^{[1
]}

机构：

[1] Univ Calabria, Dept Mech Energy & Management Engn DIMEG, I-87036 Cosenza, Italy

来源：

APPLIED ECONOMICS LETTERS | 2013年 / 20卷 / 14期

关键词：

credit risk; credit rating; DEA; efficiency; MORE; leather industry; G32; G33; C14; ENVELOPMENT ANALYSIS; EFFICIENCY; BANKRUPTCY; RATIOS;

D O I：

10.1080/13504851.2013.806771

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

The article deals with the methodologies for credit risk evaluation. It describes an empirical analysis carried out on a sample of Italian firms belonging to the leather manufacturing and wholesale industry. The study uses the efficiency, calculated through data envelopment analysis (DEA), and the credit rating at the same time. As long as efficiency is calculated by using inputs and outputs strictly linked to the credit reliability of the firm, the study confirms that there is a relationship between efficiency and credit rating, and then that efficiency can be considered as an early warning index for evaluating credit risk.

引用

页码：1310 / 1317

页数：8

共 50 条

[41] Simulating historical ratings transition matrices for credit risk analysis in Mathematica
Coleman, MS
6TH WORLD MULTICONFERENCE ON SYSTEMICS, CYBERNETICS AND INFORMATICS, VOL XVI, PROCEEDINGS: COMPUTER SCIENCE III, 2002, : 141 - 146
[42] Sovereign Credit Ratings Analysis Using the Logistic Regression Model
Takawira, Oliver
Mwamba, John W. Muteba
RISKS, 2022, 10 (04)
[43] Empirical Credit Risk Ratings of Individual Corporate Bonds and Derivation of Term Structures of Default Probabilities
Kariya, Takeaki
Yamamura, Yoshiro
Inui, Koji
JOURNAL OF RISK AND FINANCIAL MANAGEMENT, 2019, 12 (03)
[44] An empirical analysis of the effect of multiple credit ratings on reducing asset securitisation financing costs
Liu, Siqi
Zhang, Gongyuan
Yuan, Feng
FINANCE RESEARCH LETTERS, 2025, 72
[45] How Does the Health of Transportation Infrastructure Affect State Credit Ratings? An Empirical Analysis
Chen, Can
Kriz, Kenneth A.
Wang, Qiushi
PUBLIC FINANCE REVIEW, 2016, 44 (05) : 660 - 680
[46] Financial performance analysis of Ontario (Canada) Credit Unions: An application of DEA in the regulatory environment
Pille, P
Paradi, JC
EUROPEAN JOURNAL OF OPERATIONAL RESEARCH, 2002, 139 (02) : 339 - 350
[47] Restructuring risk in credit default swaps: An empirical analysis
Berndt, Antje
Jarrow, Robert A.
Kang, ChoongOh
STOCHASTIC PROCESSES AND THEIR APPLICATIONS, 2007, 117 (11) : 1724 - 1749
[48] INTEREST YIELDS, CREDIT RATINGS, AND ECONOMIC CHARACTERISTICS OF STATE BONDS - AN EMPIRICAL-ANALYSIS
LIU, P
THAKOR, AV
JOURNAL OF MONEY CREDIT AND BANKING, 1984, 16 (03) : 344 - 351
[49] Analysis of clustering algorithms for credit risk evaluation using multiple correspondence analysis
Jadwal, Pankaj Kumar
Pathak, Sunil
Jain, Sonal
MICROSYSTEM TECHNOLOGIES-MICRO-AND NANOSYSTEMS-INFORMATION STORAGE AND PROCESSING SYSTEMS, 2022, 28 (12): : 2715 - 2721
[50] Analysis of clustering algorithms for credit risk evaluation using multiple correspondence analysis
Pankaj Kumar Jadwal
Sunil Pathak
Sonal Jain
Microsystem Technologies, 2022, 28 : 2715 - 2721

← 1 2 3 4 5 →