Journal ArticleDOI
Default risk modelling using macroeconomic variables
TLDR
In this article, the macroeconomic variables, incorporated as sensitivity variables (macroeconomic sensitivities), affecting financial distress for a sample of listed Indian firms were found out by regressing the monthly stock return of the individual firm on the monthly changes in each macroeconomic variable.Abstract:
Purpose – This paper aims to find out significant macroeconomic variables, incorporated as sensitivity variables (macroeconomic sensitivities), affecting financial distress for a sample of listed Indian firms. Design/methodology/approach – The study uses a matched pair sample of defaulting and non-defaulting listed Indian firms. It uses two alternative statistical techniques, viz., logistic regression and multiple discriminant analysis. The macroeconomic sensitivities are estimated by regressing the monthly stock return of the individual firm on the monthly changes in each macroeconomic variable. Findings – Sensitivity to changes in the stock market (stock market sensitivity) and sensitivity to changes in inflation [Consumer Price Index (CPI) sensitivity] have a significant impact on the default probability of a firm. Stock market sensitivity has a significant positive relationship with the probability of default, and CPI sensitivity has a significant negative relationship with the probability of default....read more
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Dissertation
Effect of Interest Rate Capping On Operating Performance Indicators of Commercial Banks in Kenya: A Case Study of KCB Bank (Kenya) Limited
TL;DR: In this paper, the authors present a survey of the literature related to KnowLEDGEMENT and its application in the field of computer science, focusing on the problem of computer graphics.
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Macroeconomic Factors of Economic Growth in the European Union in 2000-2016: A Multidimensional Analysis
Jacek Batóg,Barbara Batóg +1 more
TL;DR: In this article, the authors used discriminant analysis to identify the most important economic growth factors of the European Union countries in 2000-2016, the impact of the crisis and accession to the EU was examined.
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Macroeconomic Factors in Modelling the SMEs Bankruptcy Risk. The Case of the Polish Market
TL;DR: In this article, the authors showed that the incorporation of the macroeconomic variables improved the prediction of the SMEs bankruptcy risk, and they verified hypothesis that including information about macroeconomic conditions significantly increases the effectiveness of the bankruptcy model.
Dissertation
Assessment of Interest Rate Capping On Commercial Banks in Kenya
TL;DR: In this article, the Chandaria School of Business in Partial Fulfilment of the Requirement for the Award of the Degree of Masters in Business Administration (MBA) was investigated.
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Looking Beyond the Financial Numbers: The Relationship Between Macroeconomic Indicators and the Likelihood of Financial Distress:
Ammar Hafeez,Sujata Kar +1 more
TL;DR: In this article, the authors identify important macroeconomic variables that could indicate the likelihood of financial distress among 294 Indian firms included in the BSE 500 index, and identify the most relevant macroeconomic factors.
References
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Journal ArticleDOI
Financial ratios, discriminant analysis and the prediction of corporate bankruptcy
TL;DR: In this paper, a set of financial and economic ratios are investigated in a bankruptcy prediction context wherein a multiple discriminant statistical methodology is employed, and the data used in the study are limited to manufacturing corporations, where an initial sample of sixty-six firms is utilized to establish a function which best discriminates between companies in two mutually exclusive groups: bankrupt and nonbankrupt firms.
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Financial ratios and the probabilistic prediction of bankruptcy
TL;DR: In this paper, the authors present some empirical results of a study predicting corporate failure as evidenced by the event of bankruptcy, and the methodology is one of maximum likelihood estimation of the so-called conditional logit model, in which the data set used in this study is from the seventies (1970-76).
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Financial Ratios As Predictors Of Failure
TL;DR: In this article, the authors focus on the use of ratios as predictors of failure, defined as the inability of a firm to pay its financial obligations as they mature, and demonstrate that a firm is said to have failed when any of the following events have occurred.
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ZETATM analysis A new model to identify bankruptcy risk of corporations
TL;DR: In this paper, the authors explored the development of a bankruptcy classification model which incorporates comprehensive inputs with respect to discriminant analysis and utilizes a sample of bankrupt firms essentially covering the period 1969-1975.
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Financial Distress and Corporate Performance
Tim C. Opler,Sheridan Titman +1 more
TL;DR: This paper found that firms in the top leverage decile in industries that experience output contractions see their sales decline by 26 percent more than do those in the bottom level of leverage, and a similar decline takes place in the market value of equity.