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http://dx.doi.org/10.7465/jkdi.2017.28.3.605

Probability of default validation in a corporate credit rating model  

Lee, Woosik (Department of Information Statistics, Anyang University)
Kim, Dong-Yung (Korea Ratings Plus)
Publication Information
Journal of the Korean Data and Information Science Society / v.28, no.3, 2017 , pp. 605-615 More about this Journal
Abstract
Recently, financial supervisory authority of Korea and international credit rating agencies have been concerned about a stand-alone rating that is calculated without incorporating guaranteed support of parent companies. Guaranteed by parent companies, most foreign subsidiaries keeps good credit rate in spite of weak financial status. However, what if the parent companies stop supporting the foreign subsidiaries, they could have a probability to go bankrupt. In this paper, we have validated a credit rating model through statistical measurers such as performance, calibration, and stability for Korean companies owning foreign subsidiaries.
Keywords
Risk science; probability of default; risk management; credit rating model; parent company guarantee;
Citations & Related Records
Times Cited By KSCI : 5  (Citation Analysis)
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