Język Polski
English
Published
:
2016-02-28
A Comparison of the Efficiency on Selected Analytical Methods in Debt Prediction
Angelika Sabuhoro
Abstract
The aim of the article is to compare selected discriminant models and the bankruptcy chance measure in credit risk evaluation. To this end, the following elements shall be employed: the classification matrix and Brier score. The outcomes of the analyses shall be confronted with a credit risk synthetic analysis performed by banks, which takes the form of the bank liability qualification from a given entity to the appropriate liability category. The analysis shall be performed with the use of financial data of 77 service providers housed within the Wielkopolskie voivodeship. The study results indicate that the degree of convergence in bank ratings related to credit risk, with indications of discriminant analysis models (88-94%), is higher than in the case of using a modified bankruptcy chance meter. In the latter case, the convergence with the bank rating amounts to 70%.(original abstract)Keywords:
Discriminant analysis, Bankruptcy, Enterprises bankruptcy forecasting, Credit riskDetails
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Sabuhoro, A. (2016). A Comparison of the Efficiency on Selected Analytical Methods in Debt Prediction. Zeszyty Naukowe Wyższej Szkoły Bankowej W Poznaniu, 66(1). Retrieved from https://journals.wsb.poznan.pl/index.php/znwsb/article/view/931