EconPapers    
Economics at your fingertips  
 

New contents and perspectives in the risk analysis of enterprises

Greta Falavigna

International Journal of Business Performance Management, 2008, vol. 10, issue 2/3, 136-173

Abstract: This paper presents a survey of techniques used for default risk analysis and it illustrates the reasons why a large number of researchers study the insolvency of firms. Firstly, there is an introduction on Basel II focusing on the first pillar and the new standards dictated by the New Basel Capital Accord (as reference, see: International Convergence of Capital Measurement and Capital Standards, Basel Committee on Banking Supervision, June 2004, Bank for International Settlements). This is followed by brief remarks about default definition and the following sections analyse different methods used for the study of default risk focusing on artificial neural network methodologies. The goal of this work is to understand if it is possible to use complex systems for the analysis of default risk and which model is the best.

Keywords: default risk; Basel II; traditional models; artificial neural networks; ANNs; rating system; credit scoring; modern approach; hybrid models; multivariate discriminant analysis; risk assessment; insolvency; standards; New Basel Capital Accord. (search for similar items in EconPapers)
Date: 2008
References: Add references at CitEc
Citations: View citations in EconPapers (2) Track citations by RSS feed

Downloads: (external link)
http://www.inderscience.com/link.php?id=16636 (text/html)
Access to full text is restricted to subscribers.

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:ids:ijbpma:v:10:y:2008:i:2/3:p:136-173

Access Statistics for this article

More articles in International Journal of Business Performance Management from Inderscience Enterprises Ltd
Bibliographic data for series maintained by Carmel O'Grady ( this e-mail address is bad, please contact ).

 
Page updated 2020-10-23
Handle: RePEc:ids:ijbpma:v:10:y:2008:i:2/3:p:136-173