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Measuring Default Risk in Turkey: Econometric Approach

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  • Melike E. Bildirici
  • Mehmet Salman

Abstract

In this paper, empirical default risk scoring models are derived by using panel data probit methods with a database which is obtained from annual balance sheets and income statements of firms which are in non-financial sectors in the Istanbul Stock Exchange (ISE). After that, these derived scoring models are used in default risk analysis of firms and compared with Z-Score and O-Score models.

Suggested Citation

  • Melike E. Bildirici & Mehmet Salman, 2006. "Measuring Default Risk in Turkey: Econometric Approach," Istanbul Stock Exchange Review, Research and Business Development Department, Borsa Istanbul, vol. 8(32), pages 11-36.
    • Handle: RePEc:bor:iserev:v:8:y:2006:i:32:p:11-36
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    File URL: http://www.borsaistanbul.com/datum/imkbdergi/EN/ISE_Review_32.pdf
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