Evaluation of credit risk based on firm performance

Psillaki, Maria; Tsolas, Ioannis E.; Margaritis, Dimitris

doi:10.1016/j.ejor.2009.03.032

Cited by 178 publications

(124 citation statements)

References 51 publications

Supporting

Mentioning

112

Contrasting

Unclassified

Order By: Relevance

“…Le secteur d'activité (SEC) a un impact sur la structure financière de l'entreprise du fait que chaque secteur est caractérisé par des modes de fonctionnement propres et constitue un indicateur synthétique du risque lié à l'activité principale de l'entreprise (Psillaki, Tsolas et Margaritis, 2010). Cette variable est mesurée au moyen de quatre indicatrices sectorielles (dummy industrie, dummy commerce, dummy construction et dummy services) en utilisant la nomenclature d'activité française (NAF), niveau 60.…”

Section: La Grille Des Hypothèsesunclassified

Théories financières et endettement des PME en France

Adair

Adaskou

2011

Revue internationale P.M.E.

View full text Add to dashboard Cite

Nous présentons les hypothèses relatives aux deux principales théories financières de la structure d’endettement des PME — compromis et financement hiérarchique — en mettant l’accent sur les imperfections du financement : fiscalité, coûts d’agence et asymétrie d’information. Nous testons ces hypothèses, la variable expliquée étant le taux d’endettement total, grâce à un modèle linéaire de données de panel, sur un échantillon de 1 520 PME françaises observées durant la période 2000-2004. Selon nos résultats, à l’exception des garanties qui conditionnent l’accès au crédit, la théorie du compromis est infirmée au regard de la relation entre l’endettement et la taille ainsi que l’âge des PME ; la relation entre l’endettement et le taux d’investissement ainsi que le crédit interentreprises confirme la théorie du financement hiérarchique.

show abstract

Section: La Grille Des Hypothèsesunclassified

Théories financières et endettement des PME en France

Adair

Adaskou

2011

Revue internationale P.M.E.

View full text Add to dashboard Cite

show abstract

“…Examples of papers that assume CRS are Xu and Wang (2009) and Yeh et al (2010). The paper of Psillaki et al (2010) is one of the few cases which assume VRS to evaluate credit risk. They use the BCC model named by Banker, Charnes and Cooper (1984) but with only one output and two inputs.…”

Section: Literature Reviewmentioning

confidence: 99%

“…Firstly, DEA has been used to derive a classification algorithm to separate distressed firms from non-distressed firms (Paradi et al, 2004;Cielen et al 2004;Emel et al, 2003). Secondly, the relative efficiency of firms has been computed using DEA and this relative efficiency has been used as a feature of each firm in a subsequently developed classification rule (Xu and Wang, 2009;Yeh et al, 2010;Psillaki et al, 2010). We consider the former first.…”

Section: Literature Reviewmentioning

confidence: 99%

Chinese companies distress prediction: an application of data envelopment analysis

Crook

Andreeva

2014

Journal of the Operational Research Society

View full text Add to dashboard Cite

Bankruptcy prediction is a key part in corporate credit risk management. Traditional bankruptcy prediction models employ financial ratios or market prices to predict bankruptcy or financial distress prior to its occurrence. We investigate the predictive accuracy of corporate efficiency measures along with standard financial ratios in predicting corporate distress in Chinese companies. Data Envelopment Analysis (DEA) is used to measure corporate efficiency.In contrast to previous applications of DEA in credit risk modelling where it was used to generate a single efficiency -Technical Efficiency, we assume Variable Returns to Scale, and decompose Technical Efficiency into Pure Technical Efficiency and Scale Efficiency. These measures are introduced into Logistic Regression to predict the probability of distress, along with the levels of Returns to Scale. Effects of efficiency variables are allowed to vary across industries through the use of interaction terms, whilst the financial ratios are assumed to have the same effects across all sectors. The results show that the predictive power is improved by this corporate efficiency information.

show abstract

“…Some texts have analyzed the relations among each of the following aspects: cash flow, credit default, and capital structure. Psillaki et al (2010) evaluate credit default and firm performance. Psillaki based his research on the industry's best practices to investigate whether productive inefficiency is a business failure predictor.…”

Section: Review Of Literaturementioning

confidence: 99%

The Effect of Human Resources Input in Enterprise Management in Taiwan

Huang¹,

Su²,

Lin³

2015

IJEF

View full text Add to dashboard Cite

This paper adopts the multiple regimes model to analyze the relations among intangible assets, firm growth and enterprise risk in Taiwan-listed companies. In contrast to previous studies, this paper calculates an indicator of human capital's excess value to examine whether the human resources allocation difference influences enterprise risk in accordance with Pantzalis and Park (2009). Our results show that there is a significant asymmetric non-linear relation between human resources and enterprise risk. We find that size and the M/B ratio exhibit a multiple threshold effect with enterprise risk. When the firm is large and has a high M/B ratio, there is a significant negative relationship between human resources and enterprise risk; however, this link does not occur with small firms. Finally, the enterprise risk is positively associated with research and development expenses. In summary, the phenomenon may be attributed to the efficiency of innovation.

show abstract

Evaluation of credit risk based on firm performance

Cited by 178 publications

References 51 publications

Théories financières et endettement des PME en France

Théories financières et endettement des PME en France

Chinese companies distress prediction: an application of data envelopment analysis

The Effect of Human Resources Input in Enterprise Management in Taiwan

Contact Info

Product

Resources

About