The prediction of corporate bankruptcy and credit risk
|Author:||Mgr. Matěj Kosturák|
|Year:||2013 - summer|
|Leaders:|| PhDr. Petr Gapko Ph.D.
|Work type:|| Economic Theory
|Awards and prizes:|
|Abstract:||This thesis present concise but comprehensive overview of most important paper dedicated to
prediction of corporate bankruptcy, as well as overview of the theory behind the employed
models and crucial indicators for quality assessment and comparison of the estimations.
Manually collected data includes financial statement, identification information and especially
specifications of management and responsible persons. From this point of view, data collected
are of high quality and in Czech Republic relatively unique. Noticeable is also multiple
imputation method used, current “state-of-the-art” technique for missing data treatment.
Practical part concentrates on models estimation for various data setting, when contrasting
models on raw and truncated datasets. By smoothing data, significantly better model can be
estimated with superior discriminating power on the same data points. Inclusion of
macroeconomic variables as well as even more significant governance indicators according to
current stage of research, improved estimated models.