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Difference Financial Variables? #28

Closed ijyliu closed 4 months ago

ijyliu commented 6 months ago

If we are going to predict upgrades/downgrades in credit rating, it seems likely that the changes in financial statement variables will be more useful than their levels.

Each earning call would be accompanied by data representing the change in variables from the prior quarter.

If time allows, other lags (1 year back in particular to remove seasonality) might be useful as well.

ijyliu commented 6 months ago

Probalby not goint to predict changes

ijyliu commented 4 months ago

may do changes

could do differences and levels of variables

ijyliu commented 4 months ago

I believe this is actually only necessary for Altman Z and any financial ratios

Specifically, 

['Altman_Z', 'Ratio_A', 'Ratio_B', 'Ratio_C', 'Ratio_D', 'Ratio_E', 'grossProfitRatio', 'ebitdaratio', 'operatingIncomeRatio', 'incomeBeforeTaxRatio', 'netIncomeRatio']

Reasoning: for things like total assets, debt, etc. the cash flow and other variables already capture quarterly changes

These can be added to all the models, not just the changes model

ijyliu commented 4 months ago

added code to difference to file Create Combined All Data - Fixed Quarter Dates.ipynb

see section "Changes in Financial Variables"

ijyliu commented 4 months ago

integrated into dataset and variable index