Variable Selection In Forecasting Models For Corporate Bankruptcy
In this paper we develop statistical models for bankruptcy prediction of Italian firms in the limited liability sector, using annual balance sheet information. Several issues involved in default risk analysis are investigated, such as the structure of the data-base, the sampling procedure and the influence of predictors. In particular we focus on the variable selection problem, comparing innovative techniques based on shrinkage with traditional stepwise methods. The predictive performance of the proposed default risk model has been evaluated by means of different accuracy measures. The results of the analysis, carried out on a data-set of financial ratios expressly created from a sample of industrial firms annual reports, give evidence in favor of the proposed model over traditional ones.
|Date of creation:||Nov 2010|
|Publication status:||Published in Working Papers, Novembre 2010, pages 1-43|
|Contact details of provider:|| Postal: Via Ponte Don Melillo - 84084 Fisciano (SA)|
Web page: http://www.dises.unisa.it
More information through EDIRC
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.:
- Carlos Serrano-Cinca, 1997. "Feedforward neural networks in the classification of financial information," The European Journal of Finance, Taylor & Francis Journals, vol. 3(3), pages 183-202.
- Wolfgang Härdle & Yuh-Jye Lee & Dorothea Schäfer & Yi-Ren Yeh, 2009. "Variable selection and oversampling in the use of smooth support vector machines for predicting the default risk of companies," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 28(6), pages 512-534.
- S. Balcaen & H. Ooghe, 2004. "35 years of studies on business failure: an overview of the classical statistical methodologiesand their related problems," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 04/248, Ghent University, Faculty of Economics and Business Administration.
- Lennox, Clive, 1999. "Identifying failing companies: a re-evaluation of the logit, probit and DA approaches," Journal of Economics and Business, Elsevier, vol. 51(4), pages 347-364, July.
- Edward I. Altman, 1968. "Financial Ratios, Discriminant Analysis And The Prediction Of Corporate Bankruptcy," Journal of Finance, American Finance Association, vol. 23(4), pages 589-609, 09.
When requesting a correction, please mention this item's handle: RePEc:sep:wpaper:3_216. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Maria Rizzo)
If references are entirely missing, you can add them using this form.