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Analysis and forecasting models for default risk. A survey of applied methodologies

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Abstract

During the last three decades various models have been proposed by the literature to predict the risk of bankruptcy and of firm insolvency, which make use of structural and empirical tools, namely rating system, credit scoring, option pricing and three alternative methods (fuzzy logic, efficient frontier and a forward looking model).In the present paper we focus on experting systems of neural networks, by taking into account theoretical as well as empirical literature on the topic.Adding to this literature, a set of alternative indicators is proposed that can be used in addition to traditional financial ratios.

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File URL: http://www.ceris.cnr.it/ceris/workingpaper/2004/WP_17_04_PDF_Falavigna.pdf
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Paper provided by Institute for Economic Research on Firms and Growth - Moncalieri (TO) in its series CERIS Working Paper with number 200417.

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Length: 47 pages
Date of creation: Dec 2004
Date of revision:
Handle: RePEc:csc:cerisp:200417

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Keywords: rischio d’insolvenza; default; neural networks; option pricing; sistemi esperti; algoritmi genetici; logica fuzzy Classification JEL: C45; C53; C67; G33;

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  1. Alessandro Sembenelli & Laura Rondi & Fabio Schiantarelli & Brian Sack, 1993. "Firms' Financial And Real Responses To Business Cycle Shocks And Monetary Tightening: Evidence For Large And Small Italian Companies," CERIS Working Paper 199305, Institute for Economic Research on Firms and Growth - Moncalieri (TO).
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