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Bank modelling methodologies: a comparative non-parametric analysis of efficiency in the Japanese banking sector

preprint
posted on 02.08.2005 by Leigh M. Drake, Maximilian Hall, Richard Simper
Following triggered corporate bankruptcies, an increasing number of prediction models have emerged since 1960s. This study provides a critical analysis of methodologies and empirical findings of applications of these models across 10 different countries. The study’s empirical exercise finds that predictive accuracies of different corporate bankruptcy prediction models are, generally, comparable. Artificially Intelligent Expert System (AIES) models perform marginally better than statistical and theoretical models. Overall, use of Multiple Discriminant Analysis (MDA) dominates the research followed by logit models. Study deduces useful observations and recommendations for future research in this field.

History

School

  • Business and Economics

Department

  • Economics

Pages

263173 bytes

Publication date

2004

Notes

Economics Research Paper, no. 04-24

Language

en

Exports