Comparative Analysis of Credit Risk Models in Relation to SME Segment

Result code in IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216224%3A14560%2F18%3A00103880" target="_blank" >RIV/00216224:14560/18:00103880 - isvavai.cz</a>

Result on the web

<a href="http://fai.econ.muni.cz" target="_blank" >http://fai.econ.muni.cz</a>

DOI - Digital Object Identifier

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Result language

angličtina

Original language name

Comparative Analysis of Credit Risk Models in Relation to SME Segment

Original language description

The importance of credit risk management is well known and was deeply investigated by the banking industry. There is a pressure on financial institutions to still improve their credit risk management systems, so the credit risk of a bank is an unflagging object of a discussion. The aim of this article is the comparison of the predicting abilities of several bankruptcy models to SME segment in the Czech Republic and its subsegments - medium sized, small sized and micro sized enterprises. We have focused on small and medium sized enterprises (SMEs) considering the fundamental role played in the Czech economy and the considerable attention placed on SMEs. We have chosen popular bankruptcy models, that are often applied, namely the Altman Z-score, Altman model developed especially for SMEs in 2007, the Ohlson O-score, the Zmijewski’s model, the Taffler’s model, and the IN05 model. The basic form of the models was used as proposed by their authors. The results were compared using the contingency table and ROC curve. We have found that the best prediction models are Zmijewski´s and Ohlson´s models which use probit and logit methodologies and according to our analysis, their prediction ability are better than models based on discriminant analysis. Surprisingly, model IN05 designed for Czech companies provides only average results. The one of the worst performing models is Altman 2007, which was created specifically for SMEs, but according to our analysis it provides only subordinates results.

Czech name

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Czech description

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Type

J_ost - Miscellaneous article in a specialist periodical

CEP classification

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OECD FORD branch

50200 - Economics and Business

Project

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Continuities

S - Specificky vyzkum na vysokych skolach

Publication year

2018

Confidentiality

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Name of the periodical

Financial Assets and Investing

ISSN

1804-5081

e-ISSN

1804-509X

Volume of the periodical

neuveden

Issue of the periodical within the volume

1/2018

Country of publishing house

CZ - CZECH REPUBLIC

Number of pages

72

Pages from-to

35-50

UT code for WoS article

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EID of the result in the Scopus database

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