DEFAULT PREDICTION FOR SME USING DISCRIMINANT AND SURVIVAL MODELS, EVIDENCE FROM POLISH MARKET

• Authors: Aneta Ptak-Chmielewska , Anna Matuszyk
• Languages of publication: EN

Abstracts

EN

The aim of this paper was to compare the new technique (survival analysis) used in the credit risk models with the traditional one (discriminant analysis), analyse the strengths and weaknesses of both methods and their usage in practice. This study attempts to use macroeconomic data to build models and examine its impact to the prediction. For this purpose, a number of models was built on the basis of the sample of 1547 enterprises including 494 defaults. The time range covered by sample was 2002-2012.

Keywords

EN

survival analysis; discriminant analysis; macro variables; rating model

• Publisher: Katedra Ekonometrii i Statystyki, Szkoła Główna Gospodarstwa Wiejskiego w Warszawie
• Journal: Metody Ilościowe w Badaniach Ekonomicznych
• Year: 2014
• Volume: 15
• Issue: 2
• Pages: 369-381

Dates

published

2014

Contributors

author

Aneta Ptak-Chmielewska

• Institute of Statistics and Demography, Warsaw School of Economics

author

Anna Matuszyk

• Institute of Finance, Warsaw School of Economics

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