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Variables Important for Bankruptcy Prediction - A Logit Binary Approach

Augustsson, Viktor LU and Taurell, Oscar (2013) NEKH01 20122
Department of Economics
Abstract (Swedish)
The purpose of this bachelor thesis is to estimate our own bankruptcy prediction model using logit binary data. Our choice of variables is based on Altman’s Z-score model 1968. A comparison is then done between results in Altman and our findings. We perform our estimates on 114 listed Nordic companies, where 37 of them went bankrupt during 2002-2012.
We find that our estimated model can categorize defaulting and non-defaulting firms best, two years prior to the event of bankruptcy. This is done with a 76,8 per cent accuracy. Finally, we show that our model can predict bankruptcy of Nordic firms better than Altman’s Z-score model.
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author
Augustsson, Viktor LU and Taurell, Oscar
supervisor
organization
course
NEKH01 20122
year
type
M2 - Bachelor Degree
subject
keywords
bankruptcy prediction, Z-score model, logit binary, maximum likelihood
language
English
id
3469994
date added to LUP
2013-02-18 12:52:34
date last changed
2013-02-18 12:52:34
@misc{3469994,
  abstract     = {The purpose of this bachelor thesis is to estimate our own bankruptcy prediction model using logit binary data. Our choice of variables is based on Altman’s Z-score model 1968. A comparison is then done between results in Altman and our findings. We perform our estimates on 114 listed Nordic companies, where 37 of them went bankrupt during 2002-2012. 
We find that our estimated model can categorize defaulting and non-defaulting firms best, two years prior to the event of bankruptcy. This is done with a 76,8 per cent accuracy. Finally, we show that our model can predict bankruptcy of Nordic firms better than Altman’s Z-score model.},
  author       = {Augustsson, Viktor and Taurell, Oscar},
  keyword      = {bankruptcy prediction,Z-score model,logit binary,maximum likelihood},
  language     = {eng},
  note         = {Student Paper},
  title        = {Variables Important for Bankruptcy Prediction - A Logit Binary Approach},
  year         = {2013},
}