Prévision de la détresse financière par les algorithmes génétiques et les réseaux de neurones (Prediction of Financial Distress Using the Genetic Algorithms and Neural Networks)

Paper presented in 20th International Conference of the French Finance Association (AFFI) 2003

12 Pages Posted: 2 Jan 2014

See all articles by Fathi Abid

Fathi Abid

University of Sfax, Faculty of Economic and Management Sciences, Probability & Statistics Laboratory

Anis Zouari

University of Sfax - Institute of the High Business Studies of Sfax (IHEC)

Date Written: Mars 30, 2003

Abstract

French Abstract: Cet article propose trois modèles de prévision de la détresse financière basés sur les réseaux de neurones et les algorithmes génétiques. La situation financière d’une entreprise est appréciée par les probabilités risque neutre de défaut déterminées par le modèle d’évaluation des options de Geske (1977). Les résultats révèlent que l’endettement, la liquidé et l’équilibre financier occupent une place centrale dans la prévision de détresse financière.

English Abstract: This paper suggests three financial distress predictive models, based on artificial neural network and genetic algorithm. Firm financial health is appreciated with risk neutral probability of default determined according to Geske (1977) formula. Results reveal that indebtedness, liquidity and financial equilibrium participate strongly to predict firm financial distress.

Note: Downloadable document is in French.

Keywords: Neural Networks, Genetic Algorithm, Financial Distress, Prediction.

Suggested Citation

Abid, Fathi and Zouari, Anis, Prévision de la détresse financière par les algorithmes génétiques et les réseaux de neurones (Prediction of Financial Distress Using the Genetic Algorithms and Neural Networks) (Mars 30, 2003). Paper presented in 20th International Conference of the French Finance Association (AFFI) 2003. Available at SSRN: https://ssrn.com/abstract=2373178

Fathi Abid (Contact Author)

University of Sfax, Faculty of Economic and Management Sciences, Probability & Statistics Laboratory ( email )

Road of Airport, Km 4
Sfax, sfax 3018
Tunisia
+216 7427 9154 (Phone)

Anis Zouari

University of Sfax - Institute of the High Business Studies of Sfax (IHEC) ( email )

Sfax
Tunisia

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