Publication detail

Predicting bankruptcy under alternative conditions: the effect of a change in industry and time period on the accuracy of the model

KARAS, M. REŽŇÁKOVÁ, M.

Original Title

Predicting bankruptcy under alternative conditions: the effect of a change in industry and time period on the accuracy of the model

Type

conference paper

Language

English

Original Abstract

According to literature bankruptcy prediction models are less accurate if applied in under alternative conditions. In our previous research we created our own bankruptcy prediction model. When creating the model we tried to applicate an approach different to previous ones. For creating the model we used the traditional method of linear discrimination analysis, but we employed only transformed variables with approximately normal distribution. What is more, the variables pairs are mostly negatively correlated. According to literature such factors should positively influence the model accuracy. However there is a very limited literacy how such application affects the stability of model’s accuracy. The aim of this paper is to analyse the stability of model’s accuracy in application in different time period or different line of business. Moreover, we aim to examine and discuss the effectiveness of the procedure which was used to create the model.

Keywords

bankruptcy prediction models; model accuracy; model robustness

Authors

KARAS, M.; REŽŇÁKOVÁ, M.

RIV year

2015

Released

1. 12. 2015

Publisher

Elsevier

ISBN

1877-0428

Periodical

Procedia Social and Behavioral Sciences

Year of study

213

Number

1

State

Kingdom of the Netherlands

Pages from

397

Pages to

403

Pages count

7

URL

http://www.sciencedirect.com/science/article/pii/S1877042815059121

Full text in the Digital Library

http://hdl.handle.net/11012/70151

BibTex

@inproceedings{BUT118189,
  author="Michal {Karas} and Mária {Režňáková}",
  title="Predicting bankruptcy under alternative conditions: the effect of a change in industry and time period on the accuracy of the model",
  booktitle="ICEM 2015",
  year="2015",
  journal="Procedia Social and Behavioral Sciences",
  volume="213",
  number="1",
  pages="397--403",
  publisher="Elsevier",
  doi="10.1016/j.sbspro.2015.11.557",
  issn="1877-0428",
  url="http://www.sciencedirect.com/science/article/pii/S1877042815059121"
}