Nouveaux instruments d’évaluation pour le risque financier d’entreprise
AbstractOn a wake of Basel II in 2004, banks and financial institutions had focused on the default analysis of firms. In this contribution, artificial neural networks are used for extracting balance-sheet variables determining the default of enterprises on a base of prospective vision. A manufacturing sample and a services one are introduced in the network and then analysed. In this way, the goal has been to show that artificial neural networks were good tools for classifying firms on a base of balance-sheet data. Moreover, these models are also able to underline indices determining the default risk of firm.
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Bibliographic InfoPaper provided by Institute for Economic Research on Firms and Growth - Moncalieri (TO) in its series CERIS Working Paper with number 200801.
Length: 27 pages
Date of creation: Jun 2008
Date of revision:
Artificial neural networks (ANN); Determinant variables; Default risk; Manufacturing industry; Service industry.;
Find related papers by JEL classification:
- C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
- G33 - Financial Economics - - Corporate Finance and Governance - - - Bankruptcy; Liquidation
- L60 - Industrial Organization - - Industry Studies: Manufacturing - - - General
- L63 - Industrial Organization - - Industry Studies: Manufacturing - - - Microelectronics; Computers; Communications Equipment
This paper has been announced in the following NEP Reports:
- NEP-ALL-2008-09-29 (All new papers)
- NEP-BAN-2008-09-29 (Banking)
- NEP-CFN-2008-09-29 (Corporate Finance)
- NEP-CMP-2008-09-29 (Computational Economics)
- NEP-RMG-2008-09-29 (Risk Management)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Pamela K. Coats & L. Franklin Fant, 1993. "Recognizing Financial Distress Patterns Using a Neural Network Tool," Financial Management, Financial Management Association, vol. 22(3), Fall.
- Kar Yan Tam & Melody Y. Kiang, 1992. "Managerial Applications of Neural Networks: The Case of Bank Failure Predictions," Management Science, INFORMS, vol. 38(7), pages 926-947, July.
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