Sensibilidad de las calificaciones crediticias a elasticidades de las razones financieras respecto a variables macroeconómicas: Un modelo de árboles de decisión clasificadores para las empresas mexicanas

The factors that influence a change in credit rating are unknown because the allocation process depends on private companies, so identifying these factors in combination with certain macroeconomic situations is essential to manage the credit risk, beyond the private process of assigning grades. The objective of this paper is to determine a set of rules that allow to firm’s management to anticipate the change in the credit rating of a Mexican firm, considering the levels of elasticity of its financial ratios to macroeconomic variables from a data mining approach, through an iterative logit regression fitting process and a classification decision tree model using public data.