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Reliability and Accuracy of Alternative Default Prediction Models: Evidence from Slovakia

Author

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  • Daniela Rybárová

    (Faculty of Business Management, University of Economics in Bratislava, Dolnozemská cesta 1/B, 85235 Bratislava, Slovakia)

  • Helena Majdúchová

    (Faculty of Business Management, University of Economics in Bratislava, Dolnozemská cesta 1/B, 85235 Bratislava, Slovakia)

  • Peter Štetka

    (Faculty of Business Management, University of Economics in Bratislava, Dolnozemská cesta 1/B, 85235 Bratislava, Slovakia)

  • Darina Luščíková

    (Independent Researcher, Dostojevského 12, 05801 Poprad, Slovakia)

Abstract

The aim of this paper is to assess the reliability of alternative default prediction models in local conditions, with subsequent comparison with other generally known and globally disseminated default prediction models, such as Altman’s Z-score, Quick Test, Creditworthiness Index, and Taffler’s Model. The comparison was carried out on a sample of 90 companies operating in the Slovak Republic over a period of 3 years (2016, 2017, and 2018) with a narrower focus on three sectors: construction, retail, and tourism, using alternative default prediction models, such as CH-index, G-index, Binkert’s Model, HGN2 Model, M-model, Gulka’s Model, Hurtošová’s Model, Model of Delina and Packová, and Binkert’s Model. To verify the reliability of these models, tests of the significance of statistical hypotheses were used, such as type I and type II error. According to research results, the highest reliability and accuracy was achieved by an alternative local Model of Delina and Packová. The least reliable results within the list of models were reported by the most globally disseminated model, Altman’s Z-score. Significant differences between sectors were identified.

Suggested Citation

  • Daniela Rybárová & Helena Majdúchová & Peter Štetka & Darina Luščíková, 2021. "Reliability and Accuracy of Alternative Default Prediction Models: Evidence from Slovakia," IJFS, MDPI, vol. 9(4), pages 1-33, November.
    • Handle: RePEc:gam:jijfss:v:9:y:2021:i:4:p:65-:d:691841
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    References listed on IDEAS

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    1. Katarina Valaskova & Dominika Gajdosikova & Jaroslav Belas, 2023. "Bankruptcy prediction in the post-pandemic period: A case study of Visegrad Group countries," Oeconomia Copernicana, Institute of Economic Research, vol. 14(1), pages 253-293, March.

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