INDICATOR OF FINANCIAL HEALTH PROPOSAL AND ITS IMPACT ON PROBABILITY OF DEFAULT, PROPUESTA DE UN INDICADOR DE SALUD FINANCIERA Y SU EFECTO EN LA PREDICCION DEL FRACASO EMPRESARIAL

Antonina Modica-Milo, Juan Samuel Baixauli Soler and Susana Alvarez Diez

Revista Internacional Administracion & Finanzas, 2012, vol. 5, issue 3, 19-40

Abstract: In this paper, we develop a model for predicting a financial health (ISF) model based on the default probability of listed companies. Systematic risk affects both listed and unlisted companies. Our model can be applied to unlisted companies. To validate the effectiveness of the proposed ISF, we evaluate its affects using the predictive ability of most frequently used accounting models. For this purpose two indicators are constructed: the Cumulative Accuracy Profile (CAP) and the Receiver Operating Characteristics (ROC). These indicators are recommended by the Committee on Banking Supervision (BCBS). The results obtained show that the proposed ISF improves the predictive ability of accounting models.

Keywords: Bankruptcy; probability of failure; structural models and accounting-based models (search for similar items in EconPapers)
JEL-codes: C01 C50 G12 G17 G21 G32 G33 (search for similar items in EconPapers)
Date: 2012
References: Add references at CitEc
Citations:

Downloads: (external link)
http://www.theibfr2.com/RePEc/ibf/riafin/riaf-v5n3-2012/RIAF-V5N3-2012-2.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ibf:riafin:v:5:y:2012:i:3:p:19-40

Access Statistics for this article

Revista Internacional Administracion & Finanzas is currently edited by Terrance Jalbert

More articles in Revista Internacional Administracion & Finanzas from The Institute for Business and Finance Research
Bibliographic data for series maintained by Mercedes Jalbert ( this e-mail address is bad, please contact ).