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Analysis and forecasting models for default risk. A survey of applied methodologies

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Abstract

During the last three decades various models have been proposed by the literature to predict the risk of bankruptcy and of firm insolvency, which make use of structural and empirical tools, namely rating system, credit scoring, option pricing and three alternative methods (fuzzy logic, efficient frontier and a forward looking model).In the present paper we focus on experting systems of neural networks, by taking into account theoretical as well as empirical literature on the topic.Adding to this literature, a set of alternative indicators is proposed that can be used in addition to traditional financial ratios.

Suggested Citation

  • Nadia D'Annunzio & Greta Falavigna, 2004. "Analysis and forecasting models for default risk. A survey of applied methodologies," CERIS Working Paper 200417, CNR-IRCrES Research Institute on Sustainable Economic Growth - Torino (TO) ITALY - former Institute for Economic Research on Firms and Growth - Moncalieri (TO) ITALY.
    • Handle: RePEc:csc:cerisp:200417
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    1. Alessandro Sembenelli & Laura Rondi & Fabio Schiantarelli & Brian Sack, 1993. "Firms' Financial And Real Responses To Business Cycle Shocks And Monetary Tightening: Evidence For Large And Small Italian Companies," CERIS Working Paper 199305, CNR-IRCrES Research Institute on Sustainable Economic Growth - Torino (TO) ITALY - former Institute for Economic Research on Firms and Growth - Moncalieri (TO) ITALY.
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    More about this item

    Keywords

    rischio d’insolvenza; default; neural networks; option pricing; sistemi esperti; algoritmi genetici; logica fuzzy Classification JEL: C45; C53; C67; G33;
    All these keywords.

    JEL classification:

    • C45 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Neural Networks and Related Topics
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • C67 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Input-Output Models
    • G33 - Financial Economics - - Corporate Finance and Governance - - - Bankruptcy; Liquidation

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