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This paper shows the evolution of financial distress prediction models of the past four decades. Special attention is paid to linear discriminant analyses, logistic regression analyses and neural networks. Based on accounting data of 50 UK industrial firms, prediction models are estimated using...
Persistent link: https://www.econbiz.de/10012946424
The paper deals with the topic of modelling the probability of bankruptcy of Polish enterprises using convolutional neural networks. Convolutional networks take images as input, so it was thus necessary to apply the method of converting the observation vector to a matrix. Benchmarks for...
Persistent link: https://www.econbiz.de/10012799240
In this paper, we test alternative feature selection methods for bankruptcy prediction and illustrate their superiority versus popular models used in the literature. We test these methods using a comprehensive dataset of more than one million financial statements from privately held Norwegian...
Persistent link: https://www.econbiz.de/10013214715
Despite the number of studies on bankruptcy prediction using financial ratios, very little is known about how external audit information can contribute to anticipating financial distress. A handful of papers have shown that a combination of ratios and audit data is significant for predictive...
Persistent link: https://www.econbiz.de/10012039600
Predicting default probabilities is at the core of credit risk management and is becoming more and more important for banks in order to measure their client's degree of risk, and for firms to operate successfully. The SVM with evolutionary feature selection is applied to the CreditReform...
Persistent link: https://www.econbiz.de/10012966306
Corporate distress models typically only employ the numerical financial variables in the firms' annual reports. We develop a model that employs the unstructured textual data in the reports as well, namely the auditors' reports and managements' statements. Our model consists of a convolutional...
Persistent link: https://www.econbiz.de/10011930209
I study the use of non-linear models and accounting inputs to predict the occurrence of litigated bankruptcies and their associated filing outcomes. The main purpose of this study is to identify the accounting patterns associated with bankruptcies. The filing outcomes include, among others, how...
Persistent link: https://www.econbiz.de/10012848588
We propose a generic workflow for the use of machine learning models to inform decision making and to communicate modelling results with stakeholders. It involves three steps: (1) a comparative model evaluation, (2) a feature importance analysis and (3) statistical inference based on Shapley...
Persistent link: https://www.econbiz.de/10014082579
Nowcasting can play a key role in giving policymakers timelier insight to data published with a significant time lag, such as final GDP figures. Currently, there are a plethora of methodologies and approaches for practitioners to choose from. However, there lacks a comprehensive comparison of...
Persistent link: https://www.econbiz.de/10014084603
Electricity price forecasting has become a crucial element for both private and public decision-making. This importance has been growing since the wave of deregulation and liberalization of energy sector worldwide late 1990s. Given these facts, this paper tries to come up with a precise and...
Persistent link: https://www.econbiz.de/10012999245