The Prediction Capabilities of Bankruptcy Models in a Different Environment: An example of the Altman Model under the Conditions in the Visegrad Group Countries

In: Ekonomický časopis/Journal of Economics, vol. 63, no. 6

Mária Režňáková - Michal Karas

Detaily:

Rok, strany: 2015, 617 - 633

Kľúčové slová:

bankruptcy prediction model transferability, linear discrimination analysis, Wilcoxon test, bootstrap JEL Classification: G33, C51

Typ článku: Vedecký / Article

Full text

O článku:

V tomto článku sú prezentované výsledky výskumu diskriminačnej schopnosti Altmanovho modelu. Týmto prispievame do diskusie o možnostiach prenositeľnosti modelov, ktoré vznikli v inom prostredí, alebo v inom období. Snaha o prenos modelov je motivovaná predpokladom, že je možné dosiahnuť rovnakú, prípadne podobnú presnosť modelu, ako bola pôvodná. Uskutočnené testy jednoznačne dokazujú, že diskriminačná presnosť modelu pri použití v inom prostredí výrazne klesá. Preto v článku skúmame možnosť zvýšenia rozlišovacej schopnosti modelu úpravou váh premenných modelu a hraníc šedej zóny. Dosiahli sme tým zvýšenie diskriminačnej presnosti modelu, avšak pôvodná presnosť originálneho modelu sa nedosiahla.

bankruptcy model. The authors are contributing in this way to discussion of the possible transferability of models that have been created in a different environment or a different time period. Efforts at model transfer are motivated by an assumption to obtain the same or similar discrimination accuracy for the given model as that declared by its creators. The tests performed have clearly shown that the discrimination accuracy of a model falls significantly when it is used in a different environment. This led in turn to an investigation of ways in which the discrimination capability of a model may be increased by means of the determination of new weightings for model variables and grey-zone boundaries. The accuracy of the original models was not attained, although an increase was seen in the discrimination accuracy of these models.

Ako citovať:

ISO 690:

Režňáková, M., Karas, M. 2015. The Prediction Capabilities of Bankruptcy Models in a Different Environment: An example of the Altman Model under the Conditions in the Visegrad Group Countries. In Ekonomický časopis/Journal of Economics, vol. 63, no.6, pp. 617-633. 0013-3035.

APA:

Režňáková, M., Karas, M. (2015). The Prediction Capabilities of Bankruptcy Models in a Different Environment: An example of the Altman Model under the Conditions in the Visegrad Group Countries. Ekonomický časopis/Journal of Economics, 63(6), 617-633. 0013-3035.