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Data reduction and univariate splitting — Do they together provide better corporate bankruptcy prediction?

Author

Listed:
  • Tamás Kristóf

    (Financial Directorate, OTP Factoring, Mozsár u. 8, H-1066 Budapest, Hungary)

  • Miklós Virág

    (Financial Directorate OTP Factoring Mozsár u. 8 H-1066 Budapest Hungary)

Abstract

Discussion on methodological problems of corporate survival and solvency prediction is enjoying a renaissance in the era of financial and economic crisis. Within the framework of this article, the most frequently applied bankruptcy prediction methods are competed on a Hungarian corporate database. Model reliability is evaluated by Receiver Operating Characteristic (ROC) curve analysis. The article attempts to answer the question of whether the simultaneous application of data reduction and univariate splitting (or just one of them) improves model performance, and for which methods it is worth applying such transformations.

Suggested Citation

  • Tamás Kristóf & Miklós Virág, 2012. "Data reduction and univariate splitting — Do they together provide better corporate bankruptcy prediction?," Acta Oeconomica, Akadémiai Kiadó, Hungary, vol. 62(2), pages 205-228, June.
    • Handle: RePEc:aka:aoecon:v:62:y:2012:i:2:p:205-228
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    Citations

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    Cited by:

    1. Nyitrai, Tamás, 2014. "Növelhető-e a csőd-előrejelző modellek előre jelző képessége az új klasszifikációs módszerek nélkül? [Can the predictive capacity of bankruptcy forecasting models be increased without new classific," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(5), pages 566-585.

    More about this item

    Keywords

    bankruptcy prediction; classification; univariate splitting; ROC curve analysis; logistic regression; decision tree; neural networks;
    All these keywords.

    JEL classification:

    • C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Spatio-temporal Models
    • C45 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Neural Networks and Related Topics
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
    • G33 - Financial Economics - - Corporate Finance and Governance - - - Bankruptcy; Liquidation

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