Comparative Analysis of Credit Risk Models in Relation to SME
Segment

J 2018

Comparative Analysis of Credit Risk Models in Relation to SME Segment

PLÍHAL, Tomáš; Martina SPONEROVÁ a Miroslav SPONER

Základní údaje

Originální název

Comparative Analysis of Credit Risk Models in Relation to SME Segment

Autoři

PLÍHAL, Tomáš ; Martina SPONEROVÁ a Miroslav SPONER

Vydání

Financial Assets and Investing, Brno, ESF, Masaryk University, 2018, 1804-5081

Další údaje

Jazyk

angličtina

Typ výsledku

Článek v odborném periodiku

Obor

50200 5.2 Economics and Business

Stát vydavatele

Česká republika

Utajení

není předmětem státního či obchodního tajemství

Odkazy

URL

Označené pro přenos do RIV

Ano

Kód RIV

RIV/00216224:14560/18:00103880

Organizační jednotka

Ekonomicko-správní fakulta

Klíčová slova anglicky

credit risk; bankruptcy prediction; SME; bankruptcy model; probability of default

Příznaky

Mezinárodní význam, Recenzováno

Změněno: 2. 2. 2024 13:04, Mgr. Pavlína Kurková

Anotace

V originále

The importance of credit risk management is well known and was deeply investigated by the banking industry. There is a pressure on financial institutions to still improve their credit risk management systems, so the credit risk of a bank is an unflagging object of a discussion. The aim of this article is the comparison of the predicting abilities of several bankruptcy models to SME segment in the Czech Republic and its subsegments - medium sized, small sized and micro sized enterprises. We have focused on small and medium sized enterprises (SMEs) considering the fundamental role played in the Czech economy and the considerable attention placed on SMEs. We have chosen popular bankruptcy models, that are often applied, namely the Altman Z-score, Altman model developed especially for SMEs in 2007, the Ohlson O-score, the Zmijewski’s model, the Taffler’s model, and the IN05 model. The basic form of the models was used as proposed by their authors. The results were compared using the contingency table and ROC curve. We have found that the best prediction models are Zmijewski´s and Ohlson´s models which use probit and logit methodologies and according to our analysis, their prediction ability are better than models based on discriminant analysis. Surprisingly, model IN05 designed for Czech companies provides only average results. The one of the worst performing models is Altman 2007, which was created specifically for SMEs, but according to our analysis it provides only subordinates results.

Návaznosti

MUNI/A/1092/2017, interní kód MU

Název: Finanční stabilita a ekonomický vývoj (Akronym: FIN2018)

Investor: Masarykova univerzita, Finanční stabilita a ekonomický vývoj, DO R. 2020_Kategorie A - Specifický výzkum - Studentské výzkumné projekty

Přiložené soubory

Comparative_analysis_final_text.pdf

Citovat

PLÍHAL, Tomáš; Martina SPONEROVÁ a Miroslav SPONER. Comparative Analysis of Credit Risk Models in Relation to SME Segment. Financial Assets and Investing. Brno: ESF, Masaryk University, 2018, roč. 9, č. 1, s. 35-50, 72 s. ISSN 1804-5081.

@article{1443518,
   author = {Plíhal, Tomáš and Sponerová, Martina and Sponer, Miroslav},
   article_location = {Brno},
   article_number = {1},
   keywords = {credit risk; bankruptcy prediction; SME; bankruptcy model; probability of default},
   language = {eng},
   issn = {1804-5081},
   journal = {Financial Assets and Investing},
   title = {Comparative Analysis of Credit Risk Models in Relation to SME Segment},
   url = {https://journals.muni.cz/fai/article/view/9488/9028},
   volume = {9},
   year = {2018}
}

TY  - JOUR
ID  - 1443518
AU  - Plíhal, Tomáš - Sponerová, Martina - Sponer, Miroslav
PY  - 2018
TI  - Comparative Analysis of Credit Risk Models in Relation to SME Segment
JF  - Financial Assets and Investing
VL  - 9
IS  - 1
SP  - 35-50
EP  - 35-50
PB  - ESF, Masaryk University
SN  - 18045081
KW  - credit risk
KW  - bankruptcy prediction
KW  - SME
KW  - bankruptcy model
KW  - probability of default
UR  - https://journals.muni.cz/fai/article/view/9488/9028
N2  - The importance of credit risk management is well known and was deeply investigated by the banking industry. There is a pressure on financial institutions to still improve their credit risk management systems, so the credit risk of a bank is an unflagging object of a discussion. The aim of this article is the comparison of the predicting abilities of several bankruptcy models to SME segment in the Czech Republic and its subsegments - medium sized, small sized and micro sized enterprises. We have focused on small and medium sized enterprises (SMEs) considering the fundamental role played in the Czech economy and the considerable attention placed on SMEs. We have chosen popular bankruptcy models, that are often applied, namely the Altman Z-score, Altman model developed especially for SMEs in 2007, the Ohlson O-score, the Zmijewski’s model, the Taffler’s model, and the IN05 model. The basic form of the models was used as proposed by their authors. The results were compared using the contingency table and ROC curve. We have found that the best prediction models are Zmijewski´s and Ohlson´s models which use probit and logit methodologies and according to our analysis, their prediction ability are better than models based on discriminant analysis. Surprisingly, model IN05 designed for Czech companies provides only average results. The one of the worst performing models is Altman 2007, which was created specifically for SMEs, but according to our analysis it provides only subordinates results.
ER  -

PLÍHAL, Tomáš; Martina SPONEROVÁ a Miroslav SPONER. Comparative Analysis of Credit Risk Models in Relation to SME Segment. \textit{Financial Assets and Investing}. Brno: ESF, Masaryk University, 2018, roč.~9, č.~1, s.~35-50, 72 s. ISSN~1804-5081.

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