Symmetric and asymmetric binary choice models for corporate bankruptcy

被引：4
作者：
Golet, Ionut [1 ]
机构：
[1] West Univ Timisoara, Fac Econ & Business Adm, RO-300115 Timisoara, Romania
来源：
CHALLENGES AND INNOVATIONS IN MANAGEMENT AND LEADERSHIP 12TH INTERNATIONAL SYMPOSIUM IN MANAGEMENT | 2014年 / 124卷
关键词：
Bankruptcy; financial ratios; economic crisis; logit; probit; scobit; cloglog; loglog; generalized extreme value regression; extreme value theory; ROC curve; FINANCIAL DISTRESS; LOGIT;
D O I：
10.1016/j.sbspro.2014.02.487
中图分类号：
C93 [管理学];
学科分类号：
12 ; 1201 ; 1202 ; 120202 ;
摘要：
Scientific literature aiming to explain and predict bankruptcy has been dominated, besides classical discriminant analysis, by symmetric binary choice models, also known as conditional probability models. The main research question that is addressed in this study is whether asymmetric binary choice models, based on extreme value theory, can explain bankruptcy better. The answer to this question is limited to the following testing context: corporate bankruptcy risk in the period of financial and economic turmoil, 2008-2012, is estimated starting from simple financial ratios available in Romania for the year 2007. (C) 2014 The Authors. Published by Elsevier Ltd.
引用
收藏
页码：282 / 291
页数：10
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