دانلود مقاله ISI انگلیسی شماره 48625
عنوان فارسی مقاله

عملکرد پیش بینی ورشکستگی و مدل های ریسک اعتباری در انگلستان: مطالعه مقایسه ای

کد مقاله سال انتشار مقاله انگلیسی ترجمه فارسی تعداد کلمات
48625 2013 20 صفحه PDF سفارش دهید محاسبه نشده
خرید مقاله
پس از پرداخت، فوراً می توانید مقاله را دانلود فرمایید.
عنوان انگلیسی
The performance of insolvency prediction and credit risk models in the UK: A comparative study
منبع

Publisher : Elsevier - Science Direct (الزویر - ساینس دایرکت)

Journal : The British Accounting Review, Volume 45, Issue 3, September 2013, Pages 183–202

کلمات کلیدی
پیش بینی ورشکستگی بانکی - پیش بینی ورشکستگی - مطالبات موکول به آینده - گزینه های مانع
پیش نمایش مقاله
پیش نمایش مقاله عملکرد پیش بینی ورشکستگی و مدل های ریسک اعتباری در انگلستان: مطالعه مقایسه ای

چکیده انگلیسی

Theoretically-driven, market-based contingent claims models have recently been applied to the field of corporate insolvency prediction in an attempt to provide the art with a theoretical methodology that has been lacking in the past. Limited studies have been carried out in order directly to compare the performance of these models with that of their accounting number-based counterparts. We use receiver operating characteristic curves to assess the efficacy of thirteen selected models using, for the first time, post-IFRS UK data; and investigate the distributional properties of model efficacy. We find that the efficacy of the models is generally less than that reported in the prior literature; but that the contingent claims models outperform models which use accounting numbers. We also obtain the counter-intuitive finding that predictions based on a single variable can be as efficient as those which are based on models which are far more complicated – in terms of variable variety and mathematical construction. Finally, we develop and test a naïve version of the down-and-out-call barrier option model for insolvency prediction and find that, despite its simple formulation, it performs favourably compared alongside other contingent claims models.

خرید مقاله
پس از پرداخت، فوراً می توانید مقاله را دانلود فرمایید.