Contribution to financial distress and default modeling and new 2-D aggregated model - SME case studies

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F49777513%3A23510%2F12%3A43915831" target="_blank" >RIV/49777513:23510/12:43915831 - isvavai.cz</a>
Result on the web
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DOI - Digital Object Identifier
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Result language
angličtina
Original language name
Contribution to financial distress and default modeling and new 2-D aggregated model - SME case studies
Original language description
Financial distress and default modeling represents large and important field of economic research topics. This paper concerns with general structure of such models in form of linear or affine forms built upon data availabe from standard accounting reports. Such general approach helps both to elucidate connections among well-known models, e.g. Altman, Ohlson, Neumaier and other ones, as well as building new models. Using logit transformation we get probabilistic version of Altman Z-score which thus may form one component of a new 2-D aggregated model, whereas the second component is constituted by Ohlson O-score in proper form. These models are used both for extensive analysis and short-term prediction of firm's state. All models are implemented by Mathematica modules and important algorithmic details are presented. Finally, we present and discuss some illustrative results of SME case studies, as well.
Czech name
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Czech description
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Publication year
2012
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection
Proceedings of 30th International Conference Mathematical Methods in Economics
ISBN
978-80-7248-779-0
ISSN
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e-ISSN
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Number of pages
6
Pages from-to
530-535
Publisher name
Silesian University
Place of publication
Karviná
Event location
Karviná
Event date
Sep 11, 2012
Type of event by nationality
WRD - Celosvětová akce
UT code for WoS article
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