Bankruptcy Prediction Models in Relation to SME Segment in the Czech Republic



Year of publication 2017
Type Article in Proceedings
Conference Proceedings of the 14th International Scientific conference European Financial Systems 2017, Part 2
MU Faculty or unit

Faculty of Economics and Administration

Field Economy
Keywords Credit risk; bankruptcy prediction; SME; bankruptcy model; insolvency; probability of default
Description Financial analysis is an essential tool for those interested in assessing the economic situation of enterprises and subsequent decision making to predict the bankruptcy. Relating credit risk of a bank is a permanent subject of many scientific researches. We focus on small and medium sized enterprises (SMEs) because they are significantly different from large corporates from credit risk point of view. Our motivation is to show the importance of modeling credit risk for SMEs separately moreover we delimit medium sized, small sized and micro sized enterprises. The aim of this article is the comparison of the real predicting abilities of several bankruptcy models to each segment. There exist several popular bankruptcy models, that are often applied, namely the Altman Z-score, the Ohlson O-score, the Zmijewski’s model, the Taffler’s model, and the IN05 model. The basic form of the models is used as proposed by their authors. The results are compared using the contingency table and ROC curve.
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