Title:

Statistical models in enterprises default risk assessment – an example of application

Group publication title:

Ekonometria = Econometrics

Title in english:

Modele statystyczne w ocenie ryzyka niewypłacalności przedsiębiorstw – przykład zastosowań

Creator:

Ptak-Chmielewska, Aneta ; Kuleta, Piotr

Subject and Keywords:

default risk ; logistic regression ; Cox model ; ryzyko default ; regresja logistyczna ; model Coxa

Description:

Econometrics = Ekonometria, 2018, Vol. 22, No. 1, s. 94-106

Abstrakt:

Default risk assessment is crucial in the banking activity. Different models were developed in the literature using the discriminant analysis, logistic regression and data mining techniques. In this paper the logistic regression was applied to verify models proposed by R. Jagiełło for different sectors. As an alternative, the logistic regression model with the nominal variable SECTOR was applied on the pooled sample of enterprises. The dynamic approach using the Cox regression survival model was estimated. Including the nominal variable SECTOR only slightly increases the predictive power of the model (in the case of “defaults”). The predictive power of the Cox regression model is lower, the only advantage is the higher accuracy classification in the case of “defaulted” enterprises

Publisher:

Wydawnictwo Uniwersytetu Ekonomicznego we Wrocławiu

Place of publication:

Wrocław

Date:

2018

Resource Type:

artykuł

Format:

application/pdf

Resource Identifier:

doi:10.15611/eada.2018.1.07

Language:

eng

Relation:

Econometrics = Ekonometria, 2018, Vol. 22, No. 1 ; Advances in Applied Data Analysis

Access Rights:

Dla wszystkich zgodnie z licencją

License:

CC BY-NC-ND 3.0 PL

Location:

Uniwersytet Ekonomiczny we Wrocławiu