Forecasting Financial Distress by the Semiparametric Logistic Scoring
affiliation not provided to SSRN
Research Unit: Applied Economics and Simulation
December 26, 2009
The aim of this paper is to compare the forecasting financial distress models named the logistic mixed scoring and the semi parametric logistic scoring. Altman scoring variables are used to predict financial situation of Tunisian firms. First, the mixed logistic scoring is applied in order to detect inobservable heterogeneity. Then, the semi parametric logistic scoring is established by the careful examination of the functional relationship between the explanatory variables and the probability of the distress. The proposed semi parametric model has a better discriminatory power and a predictive performance.
Number of Pages in PDF File: 19
Keywords: Altman model, Logistic mixed distress scoring, Semiparametric logistic distress scoring, ROC
JEL Classification: C140, G170working papers series
Date posted: April 10, 2011
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