1. Modelling and Testing the Assessment of Risk of Defaulting of Companies in the Context of the Basel Accord: A Brazilian Case Study Modelando y probando el riesgo de insolvencia empresarial en el contexto del - Acuerdo Basilea; Un Estudio; Caso Brasileño; Joao Minussi; Didier Soopramanien; Dave Worthington
ABSTRACT. This paper is concerned with the use of statistical methods to predict companies’ defaulting behaviour in the context of the New Basel Accord, which requires that banks use objective criteria and techniques for modelling the assessment of risk. Our results indicate that traditional statistical techniques can perform well in this context. These results are achieved using non-traditional financial ratios alongside traditional ratios. We believe that this indicates a need for change in some principles and conventions of accounting in order to fit better with real company performance. Key words: Basel Accord, default modelling, non-traditional financial ratios. RESUMEN. Este artículo...
(application/pdf) - 21-jul-2009