Symmetric and Asymmetric Binary Choice Models for Corporate Bankruptcy

Scientific literature aiming to explain and predict bankruptcy has been dominated, besides classical discriminant analysis, by symmetric binary choice models, also known as conditional probability models. The main research question that is addressed in this study is whether asymmetric binary choice...

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Bibliographic Details
Published inProcedia, social and behavioral sciences Vol. 124; pp. 282 - 291
Main Author Goleţ, Ionuţ
Format Journal Article
LanguageEnglish
Published Elsevier Ltd 20.03.2014
Subjects
Bankruptcy
cloglog
economic crisis
extreme value theory
financial ratios
generalized extreme value regression
logit
loglog
probit
ROC curve
scobit
economic crisis
financial ratios
cloglog
loglog
generalized extreme value regression
probit
logit
scobit
ROC curve
Bankruptcy
extreme value theory
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Summary:Scientific literature aiming to explain and predict bankruptcy has been dominated, besides classical discriminant analysis, by symmetric binary choice models, also known as conditional probability models. The main research question that is addressed in this study is whether asymmetric binary choice models, based on extreme value theory, can explain bankruptcy better. The answer to this question is limited to the following testing context: corporate bankruptcy risk in the period of financial and economic turmoil, 2008-2012, is estimated starting from simple financial ratios available in Romania for the year 2007.
ISSN:1877-0428
1877-0428
DOI:10.1016/j.sbspro.2014.02.487