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

Kód výsledku v 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>

Výsledek na webu

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DOI - Digital Object Identifier

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Jazyk výsledku

angličtina

Název v původním jazyce

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

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

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

Popis výsledku anglicky

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.

Druh

D - Stať ve sborníku

CEP obor

AE - Řízení, správa a administrativa

OECD FORD obor

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Projekt

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Návaznosti

S - Specificky vyzkum na vysokych skolach

Rok uplatnění

2012

Kód důvěrnosti údajů

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

Název statě ve sborníku

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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Počet stran výsledku

6

Strana od-do

530-535

Název nakladatele

Silesian University

Místo vydání

Karviná

Místo konání akce

Karviná

Datum konání akce

11. 9. 2012

Typ akce podle státní příslušnosti

WRD - Celosvětová akce

Kód UT WoS článku

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