Proposals of probability measures suitable for accounting data based bankruptcy models

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F49777513%3A23510%2F18%3A43954700" target="_blank" >RIV/49777513:23510/18:43954700 - isvavai.cz</a>

Výsledek na webu

<a href="http://www.fek.zcu.cz/tvp" target="_blank" >http://www.fek.zcu.cz/tvp</a>

DOI - Digital Object Identifier

<a href="http://dx.doi.org/10.24132/jbt.2018.8.3.4_13" target="_blank" >10.24132/jbt.2018.8.3.4_13</a>

Jazyk výsledku

angličtina

Název v původním jazyce

Proposals of probability measures suitable for accounting data based bankruptcy models

Popis výsledku v původním jazyce

Financial distress and bankruptcy modeling represents large and important field of economic research topics. This paper concerns with general structure of score oriented models in form of linear or affine forms built upon data available from standard accounting reports. For illustration purposes, we present well-known models, i.e. Altman, Neumaier, Ohlson, and Zmijewski one. However, the paper is focused mainly to probabilistic framework, which is getting more actual attention in practice for company financial health quantitative analysis, now. At first, the logit and probit transformations used for Ohlson, and Zmijewski model, respectively, are presented, as well as one model for calculation of probability of company default based upon Z-score values. Our contribution to this field is presented in the central part of the paper. We assume the score value to be an outcome of a random variable, which is introduced by its cumulative distribution function. This function is constructed systematically as a piecewise smooth function collected from three branches. Two of them, there are tail functions, belong to exponencial family. Whereas the central branch is specified as a linear function. At each joint, which is related to model grey zone bound, point smoothness of two adjacent branches is maintained by specific boundary conditions applied. Several cumulative distribution functions are presented, together with their probability density functions. Next, we select a SME ranked company, and apply the proposed technique to company survival analysis, as well as an analysis of company default probabilities. All calculations were performed by sw Mathematica.

Název v anglickém jazyce

Proposals of probability measures suitable for accounting data based bankruptcy models

Popis výsledku anglicky

Financial distress and bankruptcy modeling represents large and important field of economic research topics. This paper concerns with general structure of score oriented models in form of linear or affine forms built upon data available from standard accounting reports. For illustration purposes, we present well-known models, i.e. Altman, Neumaier, Ohlson, and Zmijewski one. However, the paper is focused mainly to probabilistic framework, which is getting more actual attention in practice for company financial health quantitative analysis, now. At first, the logit and probit transformations used for Ohlson, and Zmijewski model, respectively, are presented, as well as one model for calculation of probability of company default based upon Z-score values. Our contribution to this field is presented in the central part of the paper. We assume the score value to be an outcome of a random variable, which is introduced by its cumulative distribution function. This function is constructed systematically as a piecewise smooth function collected from three branches. Two of them, there are tail functions, belong to exponencial family. Whereas the central branch is specified as a linear function. At each joint, which is related to model grey zone bound, point smoothness of two adjacent branches is maintained by specific boundary conditions applied. Several cumulative distribution functions are presented, together with their probability density functions. Next, we select a SME ranked company, and apply the proposed technique to company survival analysis, as well as an analysis of company default probabilities. All calculations were performed by sw Mathematica.

Druh

J_ost - Ostatní články v recenzovaných periodicích

CEP obor

—

OECD FORD obor

50202 - Applied Economics, Econometrics

Projekt

—

Návaznosti

S - Specificky vyzkum na vysokych skolach

Rok uplatnění

2018

Kód důvěrnosti údajů

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

Název periodika

Trendy v podnikání - Business Trends

ISSN

1805-0603

e-ISSN

—

Svazek periodika

8

Číslo periodika v rámci svazku

3

Stát vydavatele periodika

CZ - Česká republika

Počet stran výsledku

10

Strana od-do

4-13

Kód UT WoS článku

—

EID výsledku v databázi Scopus

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