Analysing the Risk of Bankruptcy of Firms: Survival Analysis, Competing Risks and Multistate Models

Francesca Pierri () and Chrys Caroni ()
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Francesca Pierri: University of Perugia, Department of Economics
Chrys Caroni: National Technical University of Athens, Department of Mathematics

Chapter Chapter 25 in Demography of Population Health, Aging and Health Expenditures, 2020, pp 385-394 from Springer

Abstract: Abstract Interest and research activity in credit scoring techniques and their application has increased in the last decade following the implementation of Basel II agreements, concurrently with the severe economic crisis that has affected Europe and the world. Quantitative methods have been applied to risk analysis for over 50 years. Firms or customers are assigned to two different groups, bad or good, on the basis of the probability of failure/success predicted by the model. Methods of survival analysis from the fields of medicine and engineering were subsequently introduced in order to also study the time until the occurrence of the event of interest. After a brief review of quantitative methods applied in credit scoring, this paper focuses on analyzing different causes of failure, applied to a data set on 15184 Small Business Enterprises in Italy from 2008 to 2013. Firstly, competing risk methodology from survival analysis is applied. Secondly, we go on to take into account the occurrence of a second event in addition to the first; transition and survival probabilities are studied applying a multistate model.

Keywords: Bankruptcy; Survival analysis; Competing risks; Multistate model; Small business enterprises (search for similar items in EconPapers)
Date: 2020
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Persistent link: https://EconPapers.repec.org/RePEc:spr:ssdmcp:978-3-030-44695-6_25

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DOI: 10.1007/978-3-030-44695-6_25

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