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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 pdf  size:586 KB (599749)
Key terms: corporate; default; prediction; credit; rating; risk; classification; macroeconomic

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.
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