Firm Default Prediction Model for Slovak Companies
Firm Default Prediction Model for Slovak Companies

Author(s): Slavomir Faltus
Subject(s): Business Economy / Management, Evaluation research, Accounting - Business Administration
Published by: Masarykova univerzita nakladatelství
Keywords: default prediction; default indicators; logistic regression; area under ROC;
Summary/Abstract: The study is aimed at finding the optimal default prediction model for Slovak companies. As partial goals, the accuracy of 49 individual ratios as well as 17 most established comprehensive default prediction models used through the history of predicting default was compared. The dataset for comparing and creating own model consists of more than 300,000 individual observations for each variable within years 2003 - 2012. Methodology used for comparing ratios and models include Receiver Operating Curves (ROCs) and from them derived Area Under Curve (AUC) indicator.

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