Comparative study of bankruptcy prediction model
(2018) NEKN02 20181Department 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.
Please use this url to cite or link to this publication:
http://lup.lub.lu.se/student-papers/record/8947493
- author
- Xu, Shengxiang LU and Chen, Siqi LU
- supervisor
- organization
- course
- NEKN02 20181
- year
- 2018
- 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}}, language = {{eng}}, note = {{Student Paper}}, title = {{Comparative study of bankruptcy prediction model}}, year = {{2018}}, }