Modelowanie ryzyka upadłości a metody oceny efektywności wybranych modeli

Strycharczyk, Agnieszka

Author

Strycharczyk Agnieszka

Title

Modelowanie ryzyka upadłości a metody oceny efektywności wybranych modeli
Bankruptcy Risk Modeling and Methods of Forecasting the Risk

Source

Prace Naukowe Akademii Ekonomicznej we Wrocławiu, 2007, nr 1152, s. 529-535, tab., rys., bibliogr. 5 poz.

Issue title

Zarządzanie finansami firm : teoria i praktyka

Keyword

Analiza dyskryminacyjna, Ryzyko w biznesie, Upadłość przedsiębiorstwa, Metodologia oceny
Discriminant analysis, Business risk, Enterprise bankruptcy, Assessment methodology

Note

summ.

Abstract

Przedstawiono modelowanie ryzyka upadłości na podstawie modelu Altmana, który opiera się na analizie dyskryminacyjnej oraz modelu logitowy stosowanym przy prognozowaniu i ocenie kondycji finansowej klienta. Omówiono również wybrane techniki oceny efektywności modeli.

The issue of bankruptcy of Polish enterprises receives growing attention - especially when concerning on the main issues banks will have to face to comply with the new Basel II internal ratings-based approach. Therefore bankruptcy risk assessment models are in the center of interest as well as the methods of their quality measurement. Due to a variety of technical developments in finance, it has become possible both to quantify the level of default risk in a single asset and test the model's accuracy - simply defined as a model's ability to correctly classify firms. (original abstract)

Accessibility

The Main Library of the Cracow University of Economics
The Library of Warsaw School of Economics
The Library of University of Economics in Katowice
The Main Library of Poznań University of Economics and Business
The Main Library of the Wroclaw University of Economics

Full text

Bibliography

Benchmarking Quantitative Default Risk Models: A Validation Methodology, Rating Methodology, "Moody's Investors Service", March 2000.
Engelmann B., Tasche D., Testing Rating Accuracy, "Risk Magazine", January 2003.
International Convergence of Capital Measurement and Capital Standards, BIS, Basel 2004.
Moody's Risk Calc(tm) for Private Companies: Austria, Rating Methodology, "Moody's Investors Service", September 2002.
Studies on the Validation of the Internal Rating Systems, Revised Version - May 2005, Basel Committee on Banking Supervision, BIS.

Cited by

ISSN

0324-8445

Language

pol

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