It is suggested in this paper generating SOM as one that could be applied for forecasting of bankruptcy classes for other than trained companies. The various aspects of the proposed Neuro-discriminate model based on the multiple discriminate analysis, supervised learning neural network and self-organizing maps are analyzed. There is compared how accuracy of prediction changes executing algorith...

Bankruptcy prediction have been widely studied as a binary classification problem using financial ratios methodologies. When calculating the ratios, it is common to confront missing data problem. Thus, this paper proposes a classification method Ensemble Nearest Neighbors (ENN) to solve it. ENN uses different nearest neighbors as ensemble classifiers, then make a linear combination of them. Ins...

This study builds on option-pricing theory to explain business bankruptcy based on a sample of 139 matched pairs of bankrupt and control U.S. firms for the period 1983-94. Our results indicate that the primary option-motivated variables, such as firm volatility, play an important role in predicting default, one, two and three years prior to bankruptcy. When the model is extended to account for ...

The literature presents a clear divide between the so called market and accounting based approaches to bankruptcy prediction. With this in mind, this paper employs the discrete time hazard model framework of Shumway (2001) to test the information content of both market and accounting based models using Australian data. We …nd that market based models signi…cantly outperformed accounting based m...

We investigate the relative importance of various bankruptcy predictors commonly used in the existing literature by applying a variable selection technique, the least absolute shrinkage and selection operator (LASSO), to a comprehensive bankruptcy database. Over the 1980 to 2009 period, LASSO admits the majority of Campbell, Hilscher, and Szilagyi’s (2008) predictive variables into the bankrupt...

This paper investigates the forecasting accuracy of bankruptcy hazard rate models for U.S. companies over the time period 1962–1999 using both yearly and monthly observation intervals. The contribution of this paper is multiple-fold. One, using an expanded bankruptcy database we validate the superior forecasting performance of Shumway’s (2001) model as opposed to Altman (1968) and Zmijewski (19...

The business failure has been widely researched, trying to identify the various determinants that can affect the existence of firms. However, the variety of models as well as the variety of the theoretical frameworks, illustrates the lack of consensus on how to understand the phenomenon and the difficulties in formulating a general model interpretation. One hotspot nowadays is the prediction of...

The aim is to find out the Altman Z-Score variables are able predict bankruptcy and determine significant effect between working capital/total assets, retained earnings/total earnings before interest taxes/total book value equity/total liabilities on predictions. Bankruptcy in Foreign Exchange BUS Indonesia for period 2013-2015. results of first test show that during 2013-2015 predicted be a he...