Analyzing Industry‐Level Vulnerability by Predicting Financial Bankruptcy

18 Pages Posted: 14 May 2020

See all articles by Katsuyuki Tanaka

Katsuyuki Tanaka

Kobe University

Takuo Higashide

Nissay Asset Management Corporation Quants Investment Office

Takuji Kinkyo

Kobe University

Shigeyuki Hamori

Kobe University, Japan

Date Written: October 2019

Abstract

This study introduces a novel framework for building company bankruptcy models and a methodology for assessing the vulnerability of industrial economic activities. We consider the identification of bankruptcy as a classification problem and assume that bankruptcy criteria differ across industries. We build highly accurate industry bankruptcy models by constructing separate models for each industry. We also propose a method of analyzing the vulnerability of industrial economic activities in various countries and industries using new indicators we call “expected potential loss,” which we obtain using the predicted likelihood of bankruptcy and company information.

JEL Classification: G0, C0

Suggested Citation

Tanaka, Katsuyuki and Higashide, Takuo and Kinkyo, Takuji and Hamori, Shigeyuki, Analyzing Industry‐Level Vulnerability by Predicting Financial Bankruptcy (October 2019). Economic Inquiry, Vol. 57, Issue 4, pp. 2017-2034, 2019, Available at SSRN: https://ssrn.com/abstract=3596414 or http://dx.doi.org/10.1111/ecin.12817

Katsuyuki Tanaka (Contact Author)

Kobe University

2-1, Rokkodai-cho, Nada-ku
Kobe, 657-8501, 657-8501
Japan

Takuo Higashide

Nissay Asset Management Corporation Quants Investment Office ( email )

1-6-1 Marunouchi
Chiyoda-ku, Tokyo 100-8219
Japan

Takuji Kinkyo

Kobe University

2-1, Rokkodai-cho, Nada-ku
Kobe, 657-8501, 657-8501
Japan

Shigeyuki Hamori

Kobe University, Japan ( email )

Kobe
657-8501
Japan

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