Graduiertenkolleg Angewandte Algorithmische Mathematik
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Graduiertenkolleg Angewandte Algorithmische Mathematik Graduiertenseminar |
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| We develop statistical models for bankruptcy prediction of Norwegian firms in the limited liability sector using annual balance sheet information. We fit generalized linear-, generalized linear mixed- and generalized additive models in a discrete hazard setting. The form of the functional relationship between the explanatory variables and the probability of bankruptcy is carefully examined in order to improve models' forecasting performance. Using information on the industry sector we model the unobserved heterogeneity between different sectors through an industry-specific random factor in the generalized linear mixed model. The models developed in this paper are shown to outperform the model with Altman's variables (Altman's Z-score model) at all levels of risk. As a measure of models' forecasting accuracy we use the area under the ROC curve. This is a joint work with Claudia Czado and Daniel Berg. |
| Andrea Kampfer (kampfer |
ma.tum.de)