Arbeitspapier
Taking the twists into account: Predicting firm bankruptcy risk with splines of financial ratios
We demonstrate improvements in predictive power when introducing spline functions to take account of highly non-linear relationships between firm failure and earnings, leverage, and liquidity in a logistic bankruptcy model. Our results show that modeling excessive non-linearities yields substantially improved bankruptcy predictions, on the order of 70 to 90 percent, compared with a standard logistic model. The spline model provides several important and surprising insights into non-monotonic bankruptcy relationships. We find that low-leveraged and highly profitable firms are riskier than given by a standard model. These features are remarkably stable over time, suggesting that they are of a structural nature.
- Sprache
-
Englisch
- Erschienen in
-
Series: Sveriges Riksbank Working Paper Series ; No. 256
- Klassifikation
-
Wirtschaft
Duration Analysis; Optimal Timing Strategies
Banks; Depository Institutions; Micro Finance Institutions; Mortgages
Bankruptcy; Liquidation
Corporate Finance and Governance: Government Policy and Regulation
- Thema
-
bankruptcy risk model
micro-data
logistic spline regression
financial ratios
Prognoseverfahren
Insolvenz
Betriebliche Kennzahl
Nichtlineares Verfahren
Schweden
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Giordani, Paolo
Jacobson, Tor
von Schedvin, Erik
Villani, Mattias
- Ereignis
-
Veröffentlichung
- (wer)
-
Sveriges Riksbank
- (wo)
-
Stockholm
- (wann)
-
2011
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:41 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Giordani, Paolo
- Jacobson, Tor
- von Schedvin, Erik
- Villani, Mattias
- Sveriges Riksbank
Entstanden
- 2011
Ähnliche Objekte (12)
Schweden, 1 Krone
Geldschein, 1 Krona, 1874
Schweden, 1 Krone
Geldschein, 1 Krona, 1914
Firm-level evidence of shifts in the supply of credit
Nominal GDP targeting and the zero lower bound: Should we abandon inflation targeting?
Targeting Inflation with a Prominent Role for Money
Sources of Real Exchange Rate Fluctuations in the Nordic Countries
On the redistributive effects of inflation: An international perspective
Monetary Policy Analysis in Backward-Looking Models
The interest rate effects of government bond purchases away from the lower bound
Institutional investors and corporate investment
Schweden, 1 Krone
Geldschein, 1 Krona, 1874
Schweden, 1 Krone
Geldschein, 1 Krona, 1914
Firm-level evidence of shifts in the supply of credit
Nominal GDP targeting and the zero lower bound: Should we abandon inflation targeting?
Targeting Inflation with a Prominent Role for Money
Sources of Real Exchange Rate Fluctuations in the Nordic Countries
On the redistributive effects of inflation: An international perspective
Monetary Policy Analysis in Backward-Looking Models
The interest rate effects of government bond purchases away from the lower bound
Institutional investors and corporate investment
Schweden, 1 Krone
Geldschein, 1 Krona, 1874
Schweden, 1 Krone
Geldschein, 1 Krona, 1914
Firm-level evidence of shifts in the supply of credit
Nominal GDP targeting and the zero lower bound: Should we abandon inflation targeting?
Targeting Inflation with a Prominent Role for Money
Sources of Real Exchange Rate Fluctuations in the Nordic Countries
On the redistributive effects of inflation: An international perspective
Monetary Policy Analysis in Backward-Looking Models
The interest rate effects of government bond purchases away from the lower bound