JSM 2005 - Toronto

Abstract #303945

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Legend: = Applied Session, = Theme Session, = Presenter
Activity Number: 139
Type: Contributed
Date/Time: Monday, August 8, 2005 : 10:30 AM to 12:20 PM
Sponsor: Business and Economics Statistics Section
Abstract - #303945
Title: A Dynamic Hazard Model and Model Change Detection System for Predicting Corporate Distress
Author(s): Shu-Hui Yu*+
Companies: National Chi Nan University
Address: 1 University Rd, Puli Nantou, 545, Taiwan
Keywords: Bankruptcy prediction ; Dynamic Hazard Model ; Risk Factors
Abstract:

Multivariate Discriminant Analysis (MDA) and various models---CUSUM model, logistic regression model, fuzzy model---have been used to classify failing and nonfailing firms or to predict failure rate for each firm, although a number of methodological flaws are well-known. Recently, modified hazard model was proposed to solve the problems of static models and claimed a high accuracy rate. All of these models consisting of the same set of risk factor covariates are provided to predict bankruptcy rates for a long period time (e.g., 30 years or longer). However, it is well-known that the global economic tendency changes continuously. For instance, sometimes the manufacturing industries are during the recession period and sometimes it's the electronic industries. Is it suitable to consider the same set of risk factors without any modifications to adapt to macroeconomics for a long period in modeling the bankruptcy process? This paper suggests a new dynamic hazard model that consists of a model change detection system to predict bankruptcy rate.

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Revised March 2005