A note on performance measures for failure prediction models
AbstractSince decades, the topic of business failure prediction has been an important research area for both academics and practitioners. Bankruptcy prediction involves the classification of firms in a failing and a non-failing group3. Generally, this classification is based on (1) a prediction model that attributes a ‘score’ to each firm in the data set and (2) a certain cutoff point. To evaluate the classification results, several performance measures can be used. This note outlines these measures and illustrates the connections between them with numerical examples. This may help the reader to better understand (and possibly use) these classification measures.
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Bibliographic InfoPaper provided by Ghent University, Faculty of Economics and Business Administration in its series Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium with number 06/405.
Length: 7 pages
Date of creation: Aug 2006
Date of revision:
Other versions of this item:
- Ooghe, H. & Spaenjers, C., 2006. "A note on performance measures for failure prediction models," Vlerick Leuven Gent Management School Working Paper Series 2006-29, Vlerick Leuven Gent Management School.
- NEP-ALL-2006-11-12 (All new papers)
- NEP-BEC-2006-11-12 (Business Economics)
- NEP-RMG-2006-11-12 (Risk Management)
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