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Comparative study of bankruptcy prediction model

Xu, Shengxiang LU and Chen, Siqi LU (2018) NEKN02 20181
Department of Economics
Abstract
This paper evaluates the predictive ability of two recently proposed mixed bankruptcy prediction models, Chava & Jarrow (2004) and Campbell, Hilscher, and Szilagyi (2008) respectively,and evaluate the performance of the two models by ROC curve and CAP curve.
The result shows, the model from Campbell et al is better. The reason behind might be the enhanced explanatory power of extended three variables in Campbell et al’s model MB, CASHMITA and PRICE and more market information are included in Campbell et al’s model.
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author
Xu, Shengxiang LU and Chen, Siqi LU
supervisor
organization
course
NEKN02 20181
year
type
H1 - Master's Degree (One Year)
subject
keywords
Bankruptcy prediction model, Chava & Jarrow (2004) model, Campbell et al (2008) model, Logit regression, ROC curve and CAP curve.
language
English
id
8947493
date added to LUP
2018-07-02 15:41:35
date last changed
2018-07-02 15:41:35
@misc{8947493,
  abstract     = {This paper evaluates the predictive ability of two recently proposed mixed bankruptcy prediction models, Chava & Jarrow (2004) and Campbell, Hilscher, and Szilagyi (2008) respectively,and evaluate the performance of the two models by ROC curve and CAP curve.
The result shows, the model from Campbell et al is better. The reason behind might be the enhanced explanatory power of extended three variables in Campbell et al’s model MB, CASHMITA and PRICE and more market information are included in Campbell et al’s model.},
  author       = {Xu, Shengxiang and Chen, Siqi},
  keyword      = {Bankruptcy prediction model,Chava & Jarrow (2004) model,Campbell et al (2008) model,Logit regression,ROC curve and CAP curve.},
  language     = {eng},
  note         = {Student Paper},
  title        = {Comparative study of bankruptcy prediction model},
  year         = {2018},
}