8 The Journal of financial transformation As a result of domestic and external factors, capital flows to emerging market economies are highly volatile. All too often, these economies experience severe financial distress, which in some instances lead them to the country-equivalent of bankruptcy. Recently, the IMF and the U.S. Treasury have come up with plans to facilitate an orderly restructurin...

Due to the economic significance of bankruptcy prediction of companies for financial institutions, investors and governments, many quantitative methods have been used to develop effective prediction models. Support vector machines (SVM), a powerful classification method, has been used for this task, however, the performance of SVM is sensitive to model form, parameters setting and features sele...

We propose a parsimonious model with adverse selection where delinquency, renegotiation, and bankruptcy all occur in equilibrium as a result of a simple screening mechanism. A borrower has private information about her cost of bankruptcy, and a lender may use random contracts to screen different types of borrowers. In equilibrium, some borrowers choose not to repay, and thus become delinquent. ...

The paper is devoted to two real problems that generate a cooperative game model with a so-called k-convex characteristic function when certain conditions are fulfilled. Both a bankruptcy problem and an information trading problem are modelled as a cooperative game by constructing the corresponding bankruptcy game as well as the information market game. Firstly, it is established that the bankr...

A life-cycle model with equilibrium default in which consumers with and without temptation coexist is constructed to evaluate the 2005 bankruptcy law reform and other counterfactual reforms. The calibrated model indicates that the 2005 bankruptcy reform achieves its goal of reducing the number of bankruptcy filings, as seen in the data, but at the cost of loss in social welfare. The creditor-fr...

This paper develops an adaptive ensemble Genetic Algorithm (GA) model for bankruptcy classification of firms cited in the SEC’s Accounting and Auditing Enforcement Release (AAER). Our research contributes to the bankruptcy literature in several ways. First of all, it fills a gap in bankruptcy classification by developing a domain specific model for AAER firms. Secondly, by using financial and n...

A life-cycle model with equilibrium default in which consumers with and without temptation coexist is constructed to evaluate the 2005 bankruptcy law reform and other counterfactual reforms. The calibrated model indicates that the 2005 bankruptcy reform achieves its goal of reducing the number of bankruptcy filings, as seen in the data, but at the cost of loss in social welfare. The creditor-fr...

Many business operations and strategies rely on bankruptcy prediction. In this paper, we aim to study the impacts of public records and firmographics and predict the bankruptcy in a 12month-ahead period with using different classification models and adding values to traditionally used financial ratios. Univariate analysis shows the statistical association and significance of public records and ...

More socially efficient results obtain where the current liquidation value of the assets is low. In this situation, the parties will each retain shares of the reorganized firm based on the bargain that they reach. Assuming that both the creditor and the managers have the same discount rate, they will split the value of the firm equally. This being the case, the managers now have the incentive t...