This portal is no longer updated. Aalto University School of Business Master's Theses are now in the
Aaltodoc publication archive (Aalto University institutional repository)
School of Business | Department of Economics | Economics | 2013
Thesis number: 13393
Corporate default prediction with financial ratios and macroeconomic variables
Author: | Stenbäck, Tomi |
Title: | Corporate default prediction with financial ratios and macroeconomic variables |
Year: | 2013 Language: eng |
Department: | Department of Economics |
Academic subject: | Economics |
Index terms: | kansantaloustiede; economics; makrotalous; macroeconomics; luottoluokitus; credit rating |
Pages: | 57 |
Full text: |
» hse_ethesis_13393.pdf size:586 KB (599749)
|
Key terms: | corporate; default; prediction; credit; rating; risk; classification; macroeconomic |
Abstract: |
Abstract:
In this master thesis paper I study corporate default prediction with firm specific financial ratios and macroeconomic variables. I show how regressions default prediction ability increases when macroeconomic variables are added into the model of financial ratios. In analysis I have financial ratio data from period 1999 to 2011 from industries of construction and retail including 35000 firms and over 200000 observations. The data is from Suomen Asiakastieto, Tilastokeskus and Suomen Pankki. In measuring the goodness of the models I use different analysis of the predicted values like five levels risk classification. This risk classification can also be thought as credit rating. |
Electronic publications are subject to copyright.
The publications can be read freely and printed for personal use.
Use for commercial purposes is forbidden.