EARLY WARNING MODELING FOR FINANCIAL FAILURE: BORSA ISTANBUL CASE

Güne? Topçu (), Ahmet Burak Emel () and Tu?çe Özbey Gürkan ()
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Güne? Topçu: Çanakkale Onsekiz Mart University
Ahmet Burak Emel: Tekfen Holding
Tu?çe Özbey Gürkan: Vak?fbank

No 5808259, Proceedings of International Academic Conferences from International Institute of Social and Economic Sciences

Abstract: This study aims at financial failure prediction. The data consist of financial ratios and bankrupt information of the randomly selected 39 real sector companies listed in Borsa ?stanbul over the period 2012 to 2014 and 15 real sector companies for the following year, i.e. 2015. As real-life bankruptcy is rarely observed for publicly traded companies, a proxy is used for failure behavior. The proxy used is ?being transferred to Watchlist Companies Market of Borsa ?stanbul (BIST)?. Multiple discriminant analysis (MDA) was used in analyzing data. To validate identification ability of the MDA model, 4 scenarios are created. To assess the prediction ability of the MDA model, z-scores of the companies are calculated for the year 2015. The discriminant function achieved a 100% classification success for the model data and 73.3% for the forthcoming year failure behavior prediction.

Keywords: Bankruptcy prediction; Borsa ?stanbul; watchlist market; MDA; credit risk; Altman's z-score (search for similar items in EconPapers)
JEL-codes: C51 G17 G33 (search for similar items in EconPapers)
Pages: 1 page
Date: 2017-10
New Economics Papers: this item is included in nep-cfn
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Published in Proceedings of the Proceedings of the 33rd International Academic Conference, Vienna, Oct 2017, pages 295-295

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