PL EN


2008 | 55 | 5 | 441-461
Article title

Some methodological questions of bankruptcy prediction and probability of default estimation

Authors
Title variants
Languages of publication
HU
Abstracts
EN
Hungary's adoption of Basel II Capital Accord gave new impetus to applying and improving multivariate bankruptcy-prediction methods. This article compares the four most commonly applied bankruptcy-prediction techniques in literature and banking practice, in terms of estimation performance. The study attempts to decide, on the basis of empirical research, whether the simulation procedures with less rigorous conditions of application provide a more reliable bankruptcy prediction and probability of default estimation than traditional mathematic/statistical techniques do. The empirical research reveals that principle-component analysis does not necessarily guarantee better predictive power.
Year
Volume
55
Issue
5
Pages
441-461
Physical description
Document type
ARTICLE
Contributors
author
  • Tamas Kristof, no address given, contact the journal editor
References
Document Type
Publication order reference
Identifiers
CEJSH db identifier
10HUAAAA078622
YADDA identifier
bwmeta1.element.da0c62a9-fda8-3c59-af91-b777474635ed
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