Bankruptcy Prediction of Industrial Industry in the UK

Sriwijaya International Journal of Dynamic Economics and Business

Wong Ming Nok¹ 

[1] LCH Surveyor Ltd

关键词: Bankruptcy;    Altman;    Z-score;    Dynamic Logic Model;    DD Model;    Back-propagation network model;   

DOI  :  10.29259/sijdeb.v1i1.1-26

学科分类：社会科学、人文和艺术（综合）

来源: Fakultas Ekonomi Universitas Sriwijaya

【 摘 要 】

We make comparison between 6 models including (1) Altman’s (1968) z-score; (2) Model 1: z-score model with adjusted coefficients; (3) Model 2: z-score model with modified variables; (4) Model 3: dynamic logic model; (5) Merton distance to default (DD) model (Bharath & Shumway, 2008) and (6) back-propagation network model (Lippman, 1987). We assess the relative information content of these models regarding their bankruptcy prediction capability. Our tests show that dynamic logic model and DD model both provide significantly more information than the others while DD model has the highest prediction accuracy in the out of sample test. It is also worth noticing that altering coefficients and adjusting variables of the original z-score model could not significantly improve the predictive power of z-score model regarding companies in the industrial industry in the UK.

【 授权许可】

CC BY-SA