Credit estimation and bankruptcy prediction methods have been utilizingAltman's $z$ score method for the last several years. It is reported in manystudies that $z$ score is sensitive to changes in accounting figures.Researches have proposed different variations to conventional $z$ score thatcan improve the prediction accuracy. In this paper we develop a newmultivariate non-linear model for computing the $z$ score. In addition wedevelop a new credit risk index by fitting a Pearson type-III distribution tothe transformed financial ratios. The results from our study have shown thatthe new $z$ score can predict the bankruptcy with an accuracy of $98.6\%$ ascompared to $93.5\%$ by the Altman's $z$ score. Also, the discriminate analysisrevealed that the new transformed financial ratios could predict the bankruptcyprobability with an accuracy of $93.0\%$ as compared to $87.4\%$ using theweights of Altman's $z$ score.
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机译:在过去的几年中,信用评估和破产预测方法一直使用Altman的$ z $评分方法。许多研究表明,$ z $分数对会计数字的变化敏感。研究提出了与传统$ z $分数不同的变化,可以提高预测准确性。在本文中,我们开发了一个新的多元非线性模型来计算$ z $得分。此外,我们通过将Pearson III型分布与转换后的财务比率进行拟合来开发新的信用风险指数。我们的研究结果表明,新的$ z $得分可以预测破产的准确性为$ 98.6 \%$,而Altman的$ z $得分为$ 93.5 \%$。同样,该差异分析表明,新的转换财务比率可以预测破产概率,准确度为93.0%,而使用Altman评分的权重为$ 87.4%。
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