Analysis of credit risk faced by public companies in Brazil: an approach based on discriminant analysis, logistic regression and artificial neural networks
José Willer do Prado (),
Francisval de Melo Carvalho (),
Gideon Carvalho de Benedicto () and
André Luis Ribeiro Lima ()
Estudios Gerenciales, 2019, vol. 35, issue 153, 347-360
The aims of the present article are to identify the economic-financial indicators that best characterize Brazilian public companies through credit-granting analysis and to assess the most accurate techniques used to forecast business bankruptcy. Discriminant analysis, logistic regression and neural networks were the most used methods to predict insolvency. The sample comprised 121 companies from different sectors, 70 of them solvent and 51 insolvent. The conducted analyses were based on 35 economic-financial indicators. Need of working capital for net income, liquidity thermometer, return on equity, net margin, debt breakdown and equity on assets were the most relevant economic-financial indicators. Neural networks recorded the best accuracy and the Receiver Operating Characteristic Curves (ROC curve) corroborated this outcome.
Keywords: credit risk; bankruptcy; Brazil; financial indicators (search for similar items in EconPapers)
JEL-codes: G11 G21 G33 (search for similar items in EconPapers)
References: Add references at CitEc
Citations: Track citations by RSS feed
Downloads: (external link)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:col:000129:017761
Access Statistics for this article
More articles in Estudios Gerenciales from Universidad Icesi
Bibliographic data for series maintained by Coordinador ICESI ().