DEFAULT PREDICTION FOR SME USING DISCRIMINANT AND SURVIVAL MODELS, EVIDENCE FROM POLISH MARKET
DEFAULT PREDICTION FOR SME USING DISCRIMINANT AND SURVIVAL MODELS, EVIDENCE FROM POLISH MARKET
Author(s): Aneta Ptak-Chmielewska, Anna MatuszykSubject(s): Economy, Methodology and research technology, Financial Markets
Published by: Szkoła Główna Gospodarstwa Wiejskiego w Warszawie
Keywords: survival analysis; discriminant analysis; macro variables; rating model;
Summary/Abstract: The aim of this paper was to compare the new technique (survival analysis) used in the credit risk models with the traditional one (discriminant analysis), analyse the strengths and weaknesses of both methods and their usage in practice. This study attempts to use macroeconomic data to build models and examine its impact to the prediction. For this purpose, a number of models was built on the basis of the sample of 1547 enterprises including 494 defaults. The time range covered by sample was 2002-2012.
Journal: Metody Ilościowe w Badaniach Ekonomicznych
- Issue Year: XV/2014
- Issue No: 2
- Page Range: 369-381
- Page Count: 13
- Language: English