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AUSDM
2007
Springer

Predictive Model of Insolvency Risk for Australian Corporations

10 years 10 months ago
Predictive Model of Insolvency Risk for Australian Corporations
This paper describes the development of a predictive model for corporate insolvency risk in Australia. The model building methodology is empirical with out-ofsample future year test sets. The regression method used is logistic regression after pre-processing by quantisation of interval (or numeric) attributes. We show that logistic regression matches the performance of ensemble methods, such as random forests and ada boost, provided that preprocessing and variable selection is performed. A distinctive feature of the insolvency risk model described in this paper is its breadth; since we are using income tax return data we are able to risk score one million companies across all industries, all corporation types (public, private) and all sizes, as measured either by assets or number of employees. This is an application paper that uses standard credit scoring methodology on a new data source. The contribution is to demonstrate that insolvency risk can be estimated using income tax return ...
Rohan A. Baxter, Mark Gawler, Russell Ang
Added 07 Jun 2010
Updated 07 Jun 2010
Type Conference
Year 2007
Where AUSDM
Authors Rohan A. Baxter, Mark Gawler, Russell Ang
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