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Dynamic Bankruptcy Prediction Models for European Enterprises

Abstrakt

This manuscript is devoted to the issue of forecasting corporate bankruptcy. Determining a firm’s bankruptcy risk is one of the most interesting topics for investors and decision-makers. The aim of the paper is to develop and to evaluate dynamic bankruptcy prediction models for European enterprises. To conduct this objective, four forecasting models are developed with the use of four different methods—fuzzy sets, recurrent and multilayer artificial neural network, and decision trees. Such a research approach will answer the question of whether changes in indicators are relevant predictors of a company’s coming financial crisis because declines or increases in values do not immediately indicate that the company’s economic situation is deteriorating. The research relies on two samples of firms—the learning sample of 50 bankrupt and 50 non-bankrupt enterprises and the testing sample of 250 bankrupt and 250 non-bankrupt firms.

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Creative Commons: CC-BY otwiera się w nowej karcie

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Kategoria:
Publikacja w czasopiśmie
Typ:
artykuły w czasopismach
Opublikowano w:
Journal of Risk and Financial Management nr 12, strony 1 - 15,
ISSN: 1911-8074
Język:
angielski
Rok wydania:
2019
Opis bibliograficzny:
Korol T.: Dynamic Bankruptcy Prediction Models for European Enterprises// Journal of Risk and Financial Management -Vol. 12,iss. 4 (2019), s.1-15
DOI:
Cyfrowy identyfikator dokumentu elektronicznego (otwiera się w nowej karcie) 10.3390/jrfm12040185
Bibliografia: test
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  5. If X 1 > 0.015 and X 6 > 0.9 and X 7 > 0.82 and X 8 > 1.05 and DX 1 > 70 and DX 8 <= 85 then 1 otwiera się w nowej karcie
  6. If X 1 <= 0.015 and X 6 <= 0.9 and X 7 > 0.82 and X 8 <= 1.05 and DX 1 > 70 and DX 8 <= 85 then 0 otwiera się w nowej karcie
  7. If X 1 <= 0.015 and X 6 > 0.9 and X 7 <= 0.82 and X 8 <= 1.05 and DX 1 > 70 and DX 8 <= 85 then 0 otwiera się w nowej karcie
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  9. J. Risk Financial Manag. 2019, 12, 185 otwiera się w nowej karcie
  10. In the last stage of the research, the author estimated the decision trees model. The structure of the model is presented in Figure 8. In this model, the following financial ratios were selected: X2 (liquidity ratio), X1 (profitability ratio), X6 (structural ratio), X9 (structural ratio). As can be seen in this model, none of variables representing the change of value of ratios (dynamics) were selected during estimation process of the model. This means it is the only static model in the proposed research. J. Risk Financial Manag. 2019, 12, x FOR PEER REVIEW 11 of 15 otwiera się w nowej karcie
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Weryfikacja:
Politechnika Gdańska

wyświetlono 152 razy

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