Template-Type: ReDIF-Paper 1.0
Author-Name:  Alessandra Amendola
Author-Name-First: Alessandra 
Author-Name-Last: Amendola
Author-Email:  alamendola@unisa.it
Author-Name:  Marialuisa Restaino
Author-Name-First: Marialuisa 
Author-Name-Last: Restaino
Author-Email:  mlrestaino@unisa.it
Author-Workplace-Name: Dipartimento di Scienze Economiche e Statistiche, Università degli Studi di Salerno
Author-Name:  Luca Sensini
Author-Name-First: Luca 
Author-Name-Last: Sensini
Author-Email: lsensini@unisa.it
Author-Workplace-Name: Dipartimento di Studi e Ricerche Aziendali (Management & Information Technology), Università degli Studi di Salerno
Title: Variabile Selection in Forecasting Models for Corporate Bankruptcy
Abstract:  In this paper we develop statistical models for bankruptcy prediction of Italian firms in the limited liability sector, using annual balance sheet information.
Several issues involved in default risk analysis are investigated, such as the structure of the data-base, the sampling procedure and the influence
of predictors. In particular we focus on the variable selection problem, comparing innovative techniques based on shrinkage with traditional stepwise
methods. The predictive performance of the proposed default risk model has been evaluated by means of different accuracy measures. The results
of the analysis, carried out on a data-set of financial ratios expressly created from a sample of industrial firms annual reports, give evidence in favor of the
proposed model over traditional ones.
Creation-Date:2010-11
Publication-Status: Published in Working Papers, Novembre 2010, pages 1-43
File-URL:https://www.dises.unisa.it/RePEc/sep/wpaper/3_216.pdf
File-Function:First version, 2012
Number:3_216
Classification-JEL: C24, C40, G33, G34
Keywords: Forecasting, Default Risk, Variable Selection, Shrinkage, Lasso.
Handle:RePEc:sep:wpaper:3_216