Analysis and forecasting models for default risk. A survey of applied methodologies

Nadia D'Annunzio () and Greta Falavigna
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Nadia D'Annunzio: Ceris - Institute for Economic Research on Firms and Growth,Turin, Italy

CERIS Working Paper from CNR-IRCrES Research Institute on Sustainable Economic Growth - Torino (TO) ITALY - former Institute for Economic Research on Firms and Growth - Moncalieri (TO) ITALY

Abstract: During the last three decades various models have been proposed by the literature to predict the risk of bankruptcy and of firm insolvency, which make use of structural and empirical tools, namely rating system, credit scoring, option pricing and three alternative methods (fuzzy logic, efficient frontier and a forward looking model).In the present paper we focus on experting systems of neural networks, by taking into account theoretical as well as empirical literature on the topic.Adding to this literature, a set of alternative indicators is proposed that can be used in addition to traditional financial ratios.

Keywords: rischio d’insolvenza; default; neural networks; option pricing; sistemi esperti; algoritmi genetici; logica fuzzy Classification JEL: C45; C53; C67; G33 (search for similar items in EconPapers)
Pages: 47 pages
Date: 2004-12
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Persistent link: https://EconPapers.repec.org/RePEc:csc:cerisp:200417

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