This paper provides a methodological analysis of credit risk in manufacturing firms by using two different credit scoring approaches . The first is the traditional discriminant approach (DA) for bankruptcy prediction based on a logistic regression model, whereas the second, Data Envelopment Analysis (DEA), is a non-parametric approach for measuring firms’ efficiency which does not require ex-ante information on bankrupted firms. By using a manufacturing sample of both healthy and bankrupted firms during the period 2003-2009 we provide an indepth comparison of DA and DEA and conclude that a correct evaluation of firms’ credit worthiness is the result of successive fine tuning procedures requiring the use of multiple methodological tools.
Baussola, M. L., Bartoloni, E., Financial performance in manufacturing firms: a comparison between parametric and non parametric approaches, <<QUADERNI DEL DIPARTIMENTO DI SCIENZEECONOMICHE E SOCIALI>>, 2012; 2012 (82): 1-33 [http://hdl.handle.net/10807/32368]
Financial performance in manufacturing firms: a comparison between parametric and non parametric approaches
Baussola, Maurizio Luigi;Bartoloni, Eleonora
2012
Abstract
This paper provides a methodological analysis of credit risk in manufacturing firms by using two different credit scoring approaches . The first is the traditional discriminant approach (DA) for bankruptcy prediction based on a logistic regression model, whereas the second, Data Envelopment Analysis (DEA), is a non-parametric approach for measuring firms’ efficiency which does not require ex-ante information on bankrupted firms. By using a manufacturing sample of both healthy and bankrupted firms during the period 2003-2009 we provide an indepth comparison of DA and DEA and conclude that a correct evaluation of firms’ credit worthiness is the result of successive fine tuning procedures requiring the use of multiple methodological tools.I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.