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Macroeconomic factors in modelling the SMEs bankruptcy risk. The case of the Polish market

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Ptak-Chmielewska A., Matuszyk A.
Econometrics. Ekonometria. Advances in Applied Data Analytics
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2019
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issue vol. 23 no. 3
40-49
EN
The last financial crisis affected the SMEs sector in different countries at different levels and strength. SMEs represent the backbone of the economy of every country. Therefore, they need bankruptcy prediction models easily adaptable to their characteristics. In our analysis we verified hypothesis: including information about macroeconomic conditions significantly increases the effectiveness of the bankruptcy model. The data set used in our research contained information about 1,138 SMEs. All information was taken from the financial statements covering the period 2002-2010. The sample included enterprises from sectors: industry, trade and services. Selected financial ratios were used to build the model and the macroeconomic variables were added: GDP, inflation, and the unemployment rate. Logistic regression as the research method was applied. In our study we showed that the incorporation of the macro variables improved the prediction of the SMEs bankruptcy risk.
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DEFAULT PREDICTION FOR SME USING DISCRIMINANT AND SURVIVAL MODELS, EVIDENCE FROM POLISH MARKET

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Ptak-Chmielewska A., Matuszyk A.
Metody Ilościowe w Badaniach Ekonomicznych
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2014
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vol. 15
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issue 2
369-381
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.
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