Default prediction of small and medium-sized enterprises with industry effects

Autor:	André E. Thibeault, Frieda Rikkers
Rok vydání:	2011
Předmět:	Finance Economics and Econometrics business.industry Financial ratio Basel II Accounting Bankruptcy prediction Econometrics Default Business Specific model Tertiary sector of the economy Predictive modelling Credit risk
Zdroj:	International Journal of Banking, Accounting and Finance. 3:207
ISSN:	1755-3849 1755-3830
DOI:	10.1504/ijbaaf.2011.041455
Popis:	Financial statements vary between industries. Therefore, economic intuition suggests that industry effects should be an important component in bankruptcy prediction; however, in previous academic literature on default prediction, not much attention has been paid to these effects. In this study a number of questions concerning credit risk modelling of small and medium-sized enterprises (SMEs) and industry are answered. The results indicate that financial ratios of SMEs differ between industries. Industry, measured by the weight-of-evidence (WoE), is a significant variable in default prediction of SMEs. Rating models designed for a specific industry (trade, service, or manufacturing) contain other variables and/or variables have other weights than for a generic PD model. Industry specific default prediction models perform slightly better than the generic model with industry effects, except for the service industry, where the industry specific model considerably outperforms the generic PD model.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::19aba2e967c77d8695167fff78eac0c7 https://doi.org/10.1504/ijbaaf.2011.041455 Zobrazit plný text záznamu