<abstract xmlns="http://www.w3.org/1999/xhtml"><p>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.</p></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.

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

Central European Economic Journal

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License.

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...

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

Published Online: Sep 09, 2020

Page range: 12 - 32

DOI: https://doi.org/10.2478/ceej-2020-0002

Keywords
stress tests, bankruptcy risk, rating migration matrices, stress scenario

© 2020 Klaudia Kleszcz et al., published by Sciendo

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License.

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

Published Online: Sep 09, 2020

Page range: 12 - 32

DOI: https://doi.org/10.2478/ceej-2020-0002

Keywordsstress tests, bankruptcy risk, rating migration matrices, stress scenario

© 2020 Klaudia Kleszcz et al., published by Sciendo

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License.

Keywords
stress tests, bankruptcy risk, rating migration matrices, stress scenario