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Statistical analysis and econometric modelling of the creditworthiness of non-financial companies

Author

Listed:
  • Vladimir I. Malugin
  • Natalia V. Hryn
  • Aleksandr Y. Novopoltsev

Abstract

This paper describes the results of the application of multivariate statistical analysis and econometric modelling to assess the creditworthiness of non-financial companies on the micro and macro levels. On the basis of company's financial reports data we propose a system of credit measures called 'relative statistical credit ratings' (RSCR), which includes: company ratings (CCR), the branch of the economy ratings (BCR) and the integral indicator of creditworthiness of the national economy (ICI). The proposed methodology is applied to evaluate the creditworthiness of Belarusian companies. Using econometric modelling we examine the dependence of the credit measures BCR and ICI on the major macroeconomic factors of the Belarusian economy. We establish also the relations between the integral output indicators of the national economy and the proposed statistical creditworthiness measures. Economic analysis of the obtained statistical and econometric modelling results indicates the informativeness and the economic significance of the proposed indicators.

Suggested Citation

  • Vladimir I. Malugin & Natalia V. Hryn & Aleksandr Y. Novopoltsev, 2014. "Statistical analysis and econometric modelling of the creditworthiness of non-financial companies," International Journal of Computational Economics and Econometrics, Inderscience Enterprises Ltd, vol. 4(1/2), pages 130-147.
    • Handle: RePEc:ids:ijcome:v:4:y:2014:i:1/2:p:130-147
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    Cited by:

    1. Fantazzini, Dean, 2014. "Editorial for the Special Issue on 'Computational Methods for Russian Economic and Financial Modelling'," MPRA Paper 55430, University Library of Munich, Germany.

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