This study investigates the multi-period prediction of firm bankruptcy as a multi-alternative problem of Statistical Decision Theory. This approach enables a simultaneous assessment to be made of the prediction of bankruptcy and the time horizon at which the bankruptcy could occur. To illustrate...

We consider the problem of predicting a firm's bankruptcy with a simultaneous assessment of the time interval within which the bankruptcy must occur. We carry out anew a comparative statistical analysis of various financial indices and identify four relatively independent factors, which have...

The paper develops a new probabilistic approach to the problem of optimization of a firm's capital structure. The main idea of the approach is straightforward. As a possible firm's bankruptcy is the principal factor restricting the amount of borrowed capital, we assess probabilities of a...

The paper describes model of a new type for valuation of risky bonds and loans that we call Bayesian Multi-Period (BMP) model. BMP is neither structural model nor reduced form and not a Merton-type model at all. BMP proceeds from concept of a risky bond (loan) value as Net Present Value (NPV) of...