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

机译：非金融公司信誉度的统计分析和计量模型

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摘要

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.
机译：本文介绍了应用多元统计分析和计量经济学模型从微观和宏观两个层面评估非金融公司的信誉度的结果。根据公司的财务报告数据，我们提出一种称为“相对统计信用等级”（RSCR）的信用衡量系统，其中包括：公司等级（CCR），经济等级的分支（BCR）和信用度的整体指标国民经济（ICI）。所提出的方法可用于评估白俄罗斯公司的信誉。使用计量经济学模型，我们研究了信贷指标BCR和ICI对白俄罗斯经济的主要宏观经济因素的依赖性。我们还建立了国民经济整体产出指标与拟议的统计信誉度指标之间的关系。对获得的统计和计量经济学建模结果进行的经济分析表明，所建议指标的信息性和经济意义。

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