英文标题：
《A New Methodology for Estimating Internal Credit Risk and Bankruptcy
Prediction under Basel II Regime》
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作者：
M. Naresh Kumar and V. Sree Hari Rao
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最新提交年份：
2015
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英文摘要：
Credit estimation and bankruptcy prediction methods have been utilizing Altman\'s $z$ score method for the last several years. It is reported in many studies that $z$ score is sensitive to changes in accounting figures. Researches have proposed different variations to conventional $z$ score that can improve the prediction accuracy. In this paper we develop a new multivariate non-linear model for computing the $z$ score. In addition we develop a new credit risk index by fitting a Pearson type-III distribution to the transformed financial ratios. The results from our study have shown that the new $z$ score can predict the bankruptcy with an accuracy of $98.6\\%$ as compared to $93.5\\%$ by the Altman\'s $z$ score. Also, the discriminate analysis revealed that the new transformed financial ratios could predict the bankruptcy probability with an accuracy of $93.0\\%$ as compared to $87.4\\%$ using the weights of Altman\'s $z$ score.
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中文摘要：
过去几年，信用评估和破产预测方法一直在使用Altman的$z$评分法。据许多研究报道，$z$score对会计数字的变化很敏感。研究人员对传统的$z$评分提出了不同的变化，可以提高预测精度。在本文中，我们开发了一个新的多元非线性模型来计算$z$分数。此外，我们通过将皮尔逊III型分布与转换后的财务比率进行拟合，开发了一个新的信用风险指数。我们的研究结果表明，新的$z$分数可以预测破产，准确度为98.6\\%$，而Altman的$z$分数为93.5\\%。此外，判别分析显示，新转换的财务比率可以预测破产概率，准确度为93.0\\%$，而使用Altman的$z$评分权重预测破产概率为87.4\\%。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Economics 经济学
分类描述：q-fin.EC is an alias for econ.GN. Economics, including micro and macro economics, international economics, theory of the firm, labor economics, and other economic topics outside finance
q-fin.ec是econ.gn的别名。经济学，包括微观和宏观经济学、国际经济学、企业理论、劳动经济学和其他金融以外的经济专题
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一级分类：Quantitative Finance 数量金融学
二级分类：Risk Management 风险管理
分类描述：Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
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