Reliability and Accuracy of Alternative Default Prediction Models: Evidence from Slovakia

Daniela Rybárová, Helena Majdúchová, Peter Štetka and Darina Luščíková
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Daniela Rybárová: Faculty of Business Management, University of Economics in Bratislava, Dolnozemská cesta 1/B, 85235 Bratislava, Slovakia
Helena Majdúchová: Faculty of Business Management, University of Economics in Bratislava, Dolnozemská cesta 1/B, 85235 Bratislava, Slovakia
Peter Štetka: Faculty of Business Management, University of Economics in Bratislava, Dolnozemská cesta 1/B, 85235 Bratislava, Slovakia
Darina Luščíková: Independent Researcher, Dostojevského 12, 05801 Poprad, Slovakia

IJFS, 2021, vol. 9, issue 4, 1-33

Abstract: The aim of this paper is to assess the reliability of alternative default prediction models in local conditions, with subsequent comparison with other generally known and globally disseminated default prediction models, such as Altman’s Z-score, Quick Test, Creditworthiness Index, and Taffler’s Model. The comparison was carried out on a sample of 90 companies operating in the Slovak Republic over a period of 3 years (2016, 2017, and 2018) with a narrower focus on three sectors: construction, retail, and tourism, using alternative default prediction models, such as CH-index, G-index, Binkert’s Model, HGN2 Model, M-model, Gulka’s Model, Hurtošová’s Model, Model of Delina and Packová, and Binkert’s Model. To verify the reliability of these models, tests of the significance of statistical hypotheses were used, such as type I and type II error. According to research results, the highest reliability and accuracy was achieved by an alternative local Model of Delina and Packová. The least reliable results within the list of models were reported by the most globally disseminated model, Altman’s Z-score. Significant differences between sectors were identified.

Keywords: financial distress; financial health; default models; credit risk; error rate; reliability (search for similar items in EconPapers)
JEL-codes: F2 F3 F41 F42 G1 G2 G3 (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:gam:jijfss:v:9:y:2021:i:4:p:65-:d:691841

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