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Beurteilung des Kreditausfallrisikos im Firmenkundengeschàft der Banken

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  • Jens Leker

    (Universitàt Kiel)

  • Gerhard Schewe

    (Westfàlische WihelmsUniversitàt Münster)

Abstract

Summary The purpose of this paper is to compare three different instruments for predicting bankruptcy. In this study we develop a multivariate discrimination model, a logistic regression model, and a neuronal network model based on financial data from 232 various companies. A comparison of the Classification abilities of the three instruments is presented. The results show that all of them have a good misclassification error of less than 25%. The best model is the logistic regression model with an alphaerror of 10,3% and a betaerror of 20,7%.

Suggested Citation

  • Jens Leker & Gerhard Schewe, 1998. "Beurteilung des Kreditausfallrisikos im Firmenkundengeschàft der Banken," Schmalenbach Journal of Business Research, Springer, vol. 50(10), pages 877-891, October.
    • Handle: RePEc:spr:sjobre:v:50:y:1998:i:10:d:10.1007_bf03371538
    DOI: 10.1007/BF03371538
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    References listed on IDEAS

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    1. Altman, Edward I. & Marco, Giancarlo & Varetto, Franco, 1994. "Corporate distress diagnosis: Comparisons using linear discriminant analysis and neural networks (the Italian experience)," Journal of Banking & Finance, Elsevier, vol. 18(3), pages 505-529, May.
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    Cited by:

    1. Ulrich Kaiser & Andrea Szczesny, 2003. "Ökonometrische Verfahren zur Modellierung von Kreditausfallwahrscheinlichkeiten: Logit- und Probit-Modelle," Schmalenbach Journal of Business Research, Springer, vol. 55(8), pages 790-822, December.
    2. Uwe Kehrel & Jens Leker & Dirk Mahlstedt & Jan-Henning Trustorff, 2009. "Effekte der IFRS-Rechnungslegung auf das Bilanzrating," Schmalenbach Journal of Business Research, Springer, vol. 61(3), pages 283-309, May.

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