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Kombinierte Liquiditäts- und Solvenzkennzahlen und ein darauf basierendes Insolvenzprognosemodell für deutsche GmbHs

  • Volodymyr Perederiy
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    Eine große Herausforderung der multivariablen Analyse mit bilanziellen Kennzahlen besteht in der Identifikation derjenigen Kennzahlen, die zur besten Modellperformance führen und dabei möglichst leicht interpretierbar und intuitiv bleiben. Die Menge der in Frage kommenden Kennzahlen ist in der Regel groß; viele Kennzahlen weisen Abhängigkeiten und Korrelationen auf, was im multivariaten Kontext zu Multikollinearitätsproblemen führt. Diese Aussagen betreffen insbesondere auch die Insolvenzprognosemodellierung auf Grundlage von bilanziellen Informationen. In der vorliegenden Studie wird mittels einer einfachen Gewichtung und Division von geeigneten Bilanz- und GuV-Posten eine kombinierte Kennzahl gebildet, welche die Informationen aus den meisten traditionellen Liquiditäts- und Solvenzkennzahlen komprimiert und somit eine diesbezügliche Kennzahlenauswahl überflüssig macht. Die kombinierte Kennzahl wird anschließend – neben einigen Kennzahlen aus anderen Kennzahlenkategorien (Rentabilität, Effizienz, Unternehmensgröße) – zur Insolvenzprognose für deutsche GmbHs verwendet. Es wird demonstriert, dass die kombinierte Kennzahl die Insolvenzprognose verbessert und dabei leicht interpretierbar bleibt.

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    File URL: http://sfb649.wiwi.hu-berlin.de/papers/pdf/SFB649DP2007-060.pdf
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    Paper provided by Sonderforschungsbereich 649, Humboldt University, Berlin, Germany in its series SFB 649 Discussion Papers with number SFB649DP2007-060.

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    Length: 24 pages
    Date of creation: Oct 2007
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    Handle: RePEc:hum:wpaper:sfb649dp2007-060
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    1. Wolfgang Härdle & Sigbert Klinke & Uwe Ziegenhagen, 2007. "On the Utility of E-Learning in Statistics," SFB 649 Discussion Papers SFB649DP2007-050, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
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    24. Anton Andriyashin & Wolfgang Härdle, 2007. "QuantNet – A Database-Driven Online Repository of Scientific Information," SFB 649 Discussion Papers SFB649DP2007-041, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    25. Thorsten Vogel, 2007. "Union Wage Compression in a Right-to-Manage Model," SFB 649 Discussion Papers SFB649DP2007-009, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    26. Oliver Volckart, 2007. "Rules, Discretion or Reputation? Monetary Policies and the Efficiency of Financial Markets in Germany, 14th to 16th Centuries," SFB 649 Discussion Papers SFB649DP2007-007, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    27. Wolfgang Härdle & Julius Mungo, 2007. "Long Memory Persistence in the Factor of Implied Volatility Dynamics," SFB 649 Discussion Papers SFB649DP2007-027, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
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