Publication detail

The Prediction Capabilities of Bankruptcy Models in a Different Environment: An example of the Altman Model under the Conditions in the Visegrad Group Countries

REŽŇÁKOVÁ, M. KARAS, M.

Original Title

The Prediction Capabilities of Bankruptcy Models in a Different Environment: An example of the Altman Model under the Conditions in the Visegrad Group Countries

Type

journal article in Web of Science

Language

English

Original Abstract

This paper presents the results of research into the discrimination capability of the Altman bankruptcy model. The authors are contributing in this way to discussion of the possible transferability of models that have been created in a different environment or a different time period. Efforts at model transfer are motivated by an assumption to obtain the same or similar discrimination accuracy for the given model as that declared by its creators. The tests performed have clearly shown that the discrimination accuracy of a model falls significantly when it is used in a different environment. This led in turn to an investigation of ways in which the discrimination capability of a model may be increased by means of the determination of new weightings for model variables and grey-zone boundaries. The accuracy of the original models was not attained, although an increase was seen in the discrimination accuracy of these models.

Keywords

bankruptcy prediction model transferability; linear discrimination analysis; Wilcoxon test; bootstrap

Authors

REŽŇÁKOVÁ, M.; KARAS, M.

RIV year

2015

Released

30. 9. 2015

Publisher

Ekonomický ústav SAV

Location

Bratislava

ISBN

0013-3035

Periodical

Journal of Economics

Year of study

63

Number

6

State

Slovak Republic

Pages from

617

Pages to

633

Pages count

17

BibTex

@article{BUT117919,
  author="Mária {Režňáková} and Michal {Karas}",
  title="The Prediction Capabilities of Bankruptcy Models in a Different Environment: An example of the Altman Model under the Conditions in the Visegrad Group Countries
",
  journal="Journal of Economics",
  year="2015",
  volume="63",
  number="6",
  pages="617--633",
  issn="0013-3035"
}