Analysis and forecasting models for default risk. A survey of applied methodologies
AbstractDuring 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.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by Institute for Economic Research on Firms and Growth - Moncalieri (TO) in its series CERIS Working Paper with number 200417.
Length: 47 pages
Date of creation: Dec 2004
Date of revision:
rischio d’insolvenza; default; neural networks; option pricing; sistemi esperti; algoritmi genetici; logica fuzzy Classification JEL: C45; C53; C67; G33;
Find related papers by JEL classification:
- log - - - - - -
- fuz - - - - - -
- Cla - Mathematical and Quantitative Methods - - - - -
- JEL - Labor and Demographic Economics - - - - -
- C45 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Neural Networks and Related Topics
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- C67 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Input-Output Models
- G33 - Financial Economics - - Corporate Finance and Governance - - - Bankruptcy; Liquidation
You can help add them by filling out this form.
reading list or among the top items on IDEAS.Access and download statisticsgeneral information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Enrico Viarisio) or (Anna Perin) or (Giancarlo Birello).
If references are entirely missing, you can add them using this form.