Wykorzystanie modeli przeżycia i analizy dyskryminacyjnej do oceny ryzyka upadłości przedsiębiorstw
Application of survival models and discriminant analysis in evaluation of enterprises’ bankruptcy risk

Summary/Abstract: This paper presents the application of logistic regression, discriminant analysis and Cox regression model in the prediction of enterprises bankruptcy. A standard approach is the application of discriminant analysis and logistic regression in risk of bankruptcy modelling. This approach, however, is static and does not include the time factor. Alternative proposal is the application of hazard rate models. Those models are dynamic because they include the time to the event occurrence (bankruptcy). The main goal of this paper is an identification of the explanatory variables influence on the risk of bankruptcy and differences in modelling approaches: static and dynamic. An empirical example is presented based on financial results of the sample of 1536 enterprises (including 456 bankrupts).

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