The use of Z-Score to predict UTP loans
| Autor: | Matteo Vizzaccaro, Maurizio Dallocchio, Alberto Tron, Salvatore Ferri |
|---|---|
| Rok vydání: | 2020 |
| Předmět: |
PREDICTIVE MODELLING
050208 finance 05 social sciences Z-SCORE Standard score CREDIT RISK General Business Management and Accounting CORPORATE FINANCE FINANCIAL DISTRESS 0502 economics and business Statistics FINANCIAL DISTRESS Z-SCORE Z’-SCORE PREDICTIVE MODELLING CORPORATE FINANCE CREDIT RISK BANKRUPTCY UTP LOANS Z’-SCORE BANKRUPTCY Business UTP LOANS 050207 economics |
| Zdroj: | Corporate Ownership and Control. 18:163-178 |
| ISSN: | 1810-3057 1727-9232 |
| DOI: | 10.22495/cocv18i1art13 |
| Popis: | The Z-Score model developed by Altman in 1968 is considered one of the more reliable predictors of bankruptcy. In contraposition to the existing literature, the paper aims to investigate the Z’-Score and Z’’-Score ability to predict unlike-to-pay (UTP) loans, which is an event far earlier than insolvency. To investigate this relation, the study uses a unique sample of UTP loans, provided by a major Italian bank, and applies, as a predictive model, the Logit model, well known in academics. Final results confirm that the Z’-Score and the Z’’-Score are able to forecast UTP loans. Furthermore, the findings of the papers reveal the importance of corporate governance variables in predicting financial failures. |
| Databáze: | OpenAIRE |
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