Μέθοδοι αξιολόγησης κινδύνου σε εταιρικό - διεθνές επίπεδο. Μελέτη περίπτωσης χρεοκοπημένης εταιρίας (μελέτη πρόβλεψης προ 5ετίας)
In this dissertation we discuss three issues. First, we deal with the subject of credit risk, a risk that every financial institution has to face. Thus estimating the viability of a business-customer must be of utmost importance for a bank. For this reason, we have some models for estimating credit risk. In this dissertation we present certain techniques that have been used in order to deal with the problem of estimating probability of bankruptcy or of default. These techniques fall into three categories: (a) the statistical techniques, (b) intelligent techniques, and (c) operational research techniques. We focus on statistical methods of forecasting the probability of default. With these methods we can either discriminate between debtors, i.e. between good and bad risks, depending on their solvency status, or we can quantify the credit risk a lender takes on. The second issue we deal with in this project is that of the three main rating agencies of credit risk. More specifically, we present the ratings levels each one assigns to a borrower as well the transition matrices, which they publish; these matrices show the probability of transition from level of credit risk to another. Finally, we touch on the notorious case of Lehman’s bankruptcy.