DEA and Logit Models for predicting corporate financial distress
Financial Distress Prediction Using Distress Score as a Predictor
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The financial ratios coming out of financial statements can reflect some of the characteristics of companies in different aspects, but generally, it has been proved that weak management is the main cause of financial distress. So, the distress of companies can be the reflection of its management condition. Consequently the distress score of companies should be considered as a new variable in prediction of financial distress model. Among the methods applied to compare the efficiency of different statistic models, the ROC curves analysis are often used in the fields of psychology and bio-physics...
The financial ratios coming out of financial statements can reflect some of the characteristics of companies in different aspects, but generally, it has been proved that weak management is the main cause of financial distress. So, the distress of companies can be the reflection of its management condition. Consequently the distress score of companies should be considered as a new variable in prediction of financial distress model. Among the methods applied to compare the efficiency of different statistic models, the ROC curves analysis are often used in the fields of psychology and bio-physics to measure a diagnosis test and to compare the performance of various models for two-category results. Therefore, concerning the topic of this research and the use of ROC curves in predicting the financial distress of corporations, current research aims at designing Logit model using the distress score of the corporations and investigates the predictability of this new variable. Also, a model based on the DEA is designed and finally for better analyzing the results are compared with the Logit models.
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