The purpose of this paper is firstly to review the literature on the efficacy and importance of the Altman Z-Score bankruptcy prediction model globally and its applications in finance and related areas. This review is based on an analysis of 33 scientific papers published from the year 2000 in...

We estimate the impact of the COVID-19 pandemic on credit risk changes on a large sample of Polish SME firms. The Altman Z"-Score model, which has proven to be a powerful and robust bankruptcy prediction model across many industries and countries, is used to assess over 1,000 SMEs from seven...

In response to the recent elevated corporate credit risk environment in China’s credit market, we develop a probability of default (PD) measure for Chinese companies using actual corporate bond defaults by applying the Least Absolute Shrinkage and Selection Operator (LASSO) machine learning...

This study continues the author’s examination and forecasts as to the impact of Covid-19 on the U.S. credit cycle after one and a half years since the pandemic first began. We explore the enormous build-up of global debt even before the pandemic commenced and the subsequent record debt...

Within the commercial client segment, small business lending is gradually becoming a major target for many banks. The new Basel Capital Accord has helped the financial sector to recognize small and medium sized enterprises (SMEs) as a client, distinct from the large corporate. Some argue that...

AbstractConsidering the fundamental role played by small and medium sized enterprises (SMEs) in the economy of many countries and the considerable attention placed on SMEs in the new Basel Capital Accord, we develop a distress prediction model specifically for the SME sector and to analyze its...

AbstractWe propose a totally new approach toward assessing sovereign risk by examining rigorously the health and aggregate default risk of a nation's private corporate sector. Models such as our new Z-MetricsTMapproach can be utilized to measure the median probability of default of the...