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The Impact of the Covid-19 Crisis on the Credit Risk of the Accommodation Services Sector in Portugal: A Contingent Claims Approach = = O Impacto da Crise de Covid-19 no Risco de Credito do Setor de Alojamento em Portugal: Uma Abordagem de Reivindicacoes Contingentes.

Record Type:	Electronic resources : Monograph/item
Title/Author:	The Impact of the Covid-19 Crisis on the Credit Risk of the Accommodation Services Sector in Portugal: A Contingent Claims Approach =/
Reminder of title:	O Impacto da Crise de Covid-19 no Risco de Credito do Setor de Alojamento em Portugal: Uma Abordagem de Reivindicacoes Contingentes.
Author:	Rosero, Catalina Serrano.
Published:	Ann Arbor : ProQuest Dissertations & Theses, : 2021,
Description:	70 p.
Notes:	Source: Dissertations Abstracts International, Volume: 83-09, Section: B.
Contained By:	Dissertations Abstracts International83-09B.
Subject:	Discriminant analysis. -
Online resource:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=28992078
ISBN:	9798209808398

The Impact of the Covid-19 Crisis on the Credit Risk of the Accommodation Services Sector in Portugal: A Contingent Claims Approach = = O Impacto da Crise de Covid-19 no Risco de Credito do Setor de Alojamento em Portugal: Uma Abordagem de Reivindicacoes Contingentes.
Rosero, Catalina Serrano.

The Impact of the Covid-19 Crisis on the Credit Risk of the Accommodation Services Sector in Portugal: A Contingent Claims Approach =O Impacto da Crise de Covid-19 no Risco de Credito do Setor de Alojamento em Portugal: Uma Abordagem de Reivindicacoes Contingentes. - Ann Arbor : ProQuest Dissertations & Theses, 2021 - 70 p.

Source: Dissertations Abstracts International, Volume: 83-09, Section: B.

Thesis (Master's)--Universidade Catolica Portugesa (Portugal), 2021.

This item must not be sold to any third party vendors.

This dissertation aims to study the impact of the COVID-19 crisis on the credit risk of the accommodation services sector in Portugal using a structural model based on the one developed by Eisdorfer, Goyal, & Zhdanov (2019). Three major changes were implemented in the model: i) it was adapted to assess the impact of the pandemic crisis, ii) it was considered that firms have a cash account, and iii) a different decomposition of operating costs was made. Using the Central Balance Sheet - Harmonized Panel (CBHP) and the Fast and Exceptional Enterprise Survey (COVID-IREE) databases it was possible to implement the model to private Portuguese firms. The study is performed on four representative firms, that were constructed using a hybrid machine learning approach. The clustering variables - Adjusted Return on Assets, Fixed-Asset Turnover, Current Ratio and Long-Term Debt - were selected aiming to contemplate a different aspect regarding the firms' pre-COVID-19 financial situation. While the results obtained indicate that all of the representative firms would see a decrease in their distance to default due to the pandemic shock, the dimension of the effect is heterogeneous on the four studied firms. The results also seem to confirm the intuition that firms with a better cash position before the shock suffer a less negative impact on their levels of credit risk. Additionally, less fixed obligations seem to influence firm's chances of survival.

ISBN: 9798209808398Subjects--Topical Terms:

560438
Discriminant analysis.

The Impact of the Covid-19 Crisis on the Credit Risk of the Accommodation Services Sector in Portugal: A Contingent Claims Approach = = O Impacto da Crise de Covid-19 no Risco de Credito do Setor de Alojamento em Portugal: Uma Abordagem de Reivindicacoes Contingentes.
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520 $a This dissertation aims to study the impact of the COVID-19 crisis on the credit risk of the accommodation services sector in Portugal using a structural model based on the one developed by Eisdorfer, Goyal, & Zhdanov (2019). Three major changes were implemented in the model: i) it was adapted to assess the impact of the pandemic crisis, ii) it was considered that firms have a cash account, and iii) a different decomposition of operating costs was made. Using the Central Balance Sheet - Harmonized Panel (CBHP) and the Fast and Exceptional Enterprise Survey (COVID-IREE) databases it was possible to implement the model to private Portuguese firms. The study is performed on four representative firms, that were constructed using a hybrid machine learning approach. The clustering variables - Adjusted Return on Assets, Fixed-Asset Turnover, Current Ratio and Long-Term Debt - were selected aiming to contemplate a different aspect regarding the firms' pre-COVID-19 financial situation. While the results obtained indicate that all of the representative firms would see a decrease in their distance to default due to the pandemic shock, the dimension of the effect is heterogeneous on the four studied firms. The results also seem to confirm the intuition that firms with a better cash position before the shock suffer a less negative impact on their levels of credit risk. Additionally, less fixed obligations seem to influence firm's chances of survival.
520 $a Esta dissertacao tem o objetivo de estudar os impactos da crise de COVID-19 no risco de credito no setor de alojamento em Portugal utilizando um modelo estrutural baseado naquele desenvolvido por Eisdorfer, Goyal, & Zhdanov (2019). Tres alteracoes principais foram implementadas no modelo: i) ele foi adaptado para medir o impacto da crise da pandemia, ii) foi considerado que as empresas possuem uma conta de caixa, e iii) uma decomposicao diferente para os custos operacionais foi feita. As bases de dados Central de Balancos (CBHP) e Inquerito Rapido e Excecional as Empresas (COVID-IREE) foram utilizadas para implementar o modelo para empresas privadas portuguesas. O estudo foi realizado em quatro empresas representativas, que foram contruidas utilizando um metodo hibrido de agrupamento com machine learning. As variaveis de agrupamento escolhidas - Retorno de Ativos Ajustado, Turnover de Ativos Fixos, Racio de Liquidez, e Divida de Longo Prazo - foram selecionadas com o objetivo de contemplar diferentes aspetos referentes a situacao financeira das empresas pre-COVID-19. Apesar de todas as empresas representativas registarem uma reducao na sua distancia ao incumprimento em resultado do choque pandemico, a dimensao do efeito e heterogeneo nas quatro empresas estudadas. Os resultados tambem parecem confirmar a intuicao de que empresas com uma posicao de caixa melhor antes do choque sofrem um impacto menos negativo nos seus niveis de risco de credito. Alem disso, ter obrigacoes fixas mais baixas parece influenciar as chances da empresa de sobrevivencia.
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