Survival Analysis Employed in Predicting Corporate Failure: A Forecasting Model Proposal
Autor(a) principal: | |
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Data de Publicação: | 2016 |
Tipo de documento: | Artigo |
Idioma: | eng |
Título da fonte: | Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
Texto Completo: | http://hdl.handle.net/11110/918 |
Resumo: | In face of the current economic and financial environment, predicting corporate bankruptcy is arguably a phenomenon of increasing interest to investors, creditors, borrowing firms, and governments alike. Within the strand of literature focused on bankruptcy forecasting we can find diverse types of research employing a wide variety of techniques, but only a few researchers have used survival analysis for the examination of this issue. We propose a model for the prediction of corporate bankruptcy based on survival analysis, a technique which stands on its own merits. In this research, the hazard rate is the probability of ‘‘bankruptcy’’ as of time t, conditional upon having survived until time t. Many hazard models are applied in a context where the running of time naturally affects the hazard rate. The model employed in this paper uses the time of survival or the hazard risk as dependent variable, considering the unsuccessful companies as censured observations. |
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Survival Analysis Employed in Predicting Corporate Failure: A Forecasting Model Proposalbankruptcy predictionfinancial distresssurvival analysisfinancial ratiosIn face of the current economic and financial environment, predicting corporate bankruptcy is arguably a phenomenon of increasing interest to investors, creditors, borrowing firms, and governments alike. Within the strand of literature focused on bankruptcy forecasting we can find diverse types of research employing a wide variety of techniques, but only a few researchers have used survival analysis for the examination of this issue. We propose a model for the prediction of corporate bankruptcy based on survival analysis, a technique which stands on its own merits. In this research, the hazard rate is the probability of ‘‘bankruptcy’’ as of time t, conditional upon having survived until time t. Many hazard models are applied in a context where the running of time naturally affects the hazard rate. The model employed in this paper uses the time of survival or the hazard risk as dependent variable, considering the unsuccessful companies as censured observations.2016-01-20T16:10:20Z2016-01-20T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articlehttp://hdl.handle.net/11110/918oai:ciencipca.ipca.pt:11110/918eng1913-9004http://hdl.handle.net/11110/918metadata only accessinfo:eu-repo/semantics/openAccessPereira, Joséreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2022-09-05T12:52:22Zoai:ciencipca.ipca.pt:11110/918Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T15:01:16.156774Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse |
dc.title.none.fl_str_mv |
Survival Analysis Employed in Predicting Corporate Failure: A Forecasting Model Proposal |
title |
Survival Analysis Employed in Predicting Corporate Failure: A Forecasting Model Proposal |
spellingShingle |
Survival Analysis Employed in Predicting Corporate Failure: A Forecasting Model Proposal Pereira, José bankruptcy prediction financial distress survival analysis financial ratios |
title_short |
Survival Analysis Employed in Predicting Corporate Failure: A Forecasting Model Proposal |
title_full |
Survival Analysis Employed in Predicting Corporate Failure: A Forecasting Model Proposal |
title_fullStr |
Survival Analysis Employed in Predicting Corporate Failure: A Forecasting Model Proposal |
title_full_unstemmed |
Survival Analysis Employed in Predicting Corporate Failure: A Forecasting Model Proposal |
title_sort |
Survival Analysis Employed in Predicting Corporate Failure: A Forecasting Model Proposal |
author |
Pereira, José |
author_facet |
Pereira, José |
author_role |
author |
dc.contributor.author.fl_str_mv |
Pereira, José |
dc.subject.por.fl_str_mv |
bankruptcy prediction financial distress survival analysis financial ratios |
topic |
bankruptcy prediction financial distress survival analysis financial ratios |
description |
In face of the current economic and financial environment, predicting corporate bankruptcy is arguably a phenomenon of increasing interest to investors, creditors, borrowing firms, and governments alike. Within the strand of literature focused on bankruptcy forecasting we can find diverse types of research employing a wide variety of techniques, but only a few researchers have used survival analysis for the examination of this issue. We propose a model for the prediction of corporate bankruptcy based on survival analysis, a technique which stands on its own merits. In this research, the hazard rate is the probability of ‘‘bankruptcy’’ as of time t, conditional upon having survived until time t. Many hazard models are applied in a context where the running of time naturally affects the hazard rate. The model employed in this paper uses the time of survival or the hazard risk as dependent variable, considering the unsuccessful companies as censured observations. |
publishDate |
2016 |
dc.date.none.fl_str_mv |
2016-01-20T16:10:20Z 2016-01-20T00:00:00Z |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/article |
format |
article |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
http://hdl.handle.net/11110/918 oai:ciencipca.ipca.pt:11110/918 |
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http://hdl.handle.net/11110/918 |
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oai:ciencipca.ipca.pt:11110/918 |
dc.language.iso.fl_str_mv |
eng |
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eng |
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1913-9004 http://hdl.handle.net/11110/918 |
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metadata only access |
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openAccess |
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RCAAP |
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RCAAP |
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Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
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Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
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Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
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