This paper investigates the capability of forecasting models for bankruptcy prediction referring to annual balance sheet information of Italian firms in the limited liability sector. The performance of default risk models in terms of forecast accuracy is mainly related to the selection of the set of best predictors. Therefore our main research question refer to the identifications of the determinants of corporate financial distress, comparing the performance of innovative selection techniques. Furthermore, several issues involved in default risk analysis are considered, such as the structure of the data-base and the sampling procedure The predictive performance of the proposed default risk model has been assessed by means of different accuracy measures. The results of the analysis, carried out on a data-set of financial ratios expressly created from a sample of industrial firms annual reports, give evidence in favour of the proposed model over traditional ones.

Selection of determinants in Corporate Financial Distress

SENSINI, LUCA
2015

Abstract

This paper investigates the capability of forecasting models for bankruptcy prediction referring to annual balance sheet information of Italian firms in the limited liability sector. The performance of default risk models in terms of forecast accuracy is mainly related to the selection of the set of best predictors. Therefore our main research question refer to the identifications of the determinants of corporate financial distress, comparing the performance of innovative selection techniques. Furthermore, several issues involved in default risk analysis are considered, such as the structure of the data-base and the sampling procedure The predictive performance of the proposed default risk model has been assessed by means of different accuracy measures. The results of the analysis, carried out on a data-set of financial ratios expressly created from a sample of industrial firms annual reports, give evidence in favour of the proposed model over traditional ones.
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Utilizza questo identificativo per citare o creare un link a questo documento: http://hdl.handle.net/11386/4532257
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