Abstract
This paper provides a methodological analysis of credit risk in manufacturing
firms by using two different credit scoring approaches . The
first is the traditional discriminant approach (DA) for bankruptcy prediction
based on a logistic regression model, whereas the second, Data
Envelopment Analysis (DEA), is a non-parametric approach for measuring
firms’ efficiency which does not require ex-ante information on
bankrupted firms. By using a manufacturing sample of both healthy
and bankrupted firms during the period 2003-2009 we provide an indepth
comparison of DA and DEA and conclude that a correct evaluation
of firms’ credit worthiness is the result of successive fine tuning
procedures requiring the use of multiple methodological tools.
Lingua originale | English |
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Numero di pagine | 33 |
Stato di pubblicazione | Pubblicato - 2012 |
Keywords
- Bankruptcy
- Credit rating
- Data Envelopment
- Discriminant Analysis