A Pattern for Dynamic Prediction of Financial Distress by Using Survival Analysis

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EBRAHIMI SARV OLIA MOHAMMAD HASAN; BABAJANI JAFAR; AKHOND MOHAMMAD REZA; Fakher Eslam

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Journal: Journal of Quantitative Economics Year:2019 | Volume:15 | Issue:4 Page(s): 167-198

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Title

A Pattern for Dynamic Prediction of Financial Distress by Using Survival Analysis

Author(s)

EBRAHIMI SARV OLIA MOHAMMAD HASAN | BABAJANI JAFAR | AKHOND MOHAMMAD REZA | Fakher Eslam | Issue Writer Certificate

Keywords

Survival AnalysisQ1

Financial DistressQ1

Market based VariablesQ1

Accounting VariablesQ1

Abstract

In spite of extensive research on predicting Financial Distress and bankruptcy there seems to be no acceptable pattern for predicting based on known financial theories. Therefore. More research in this field will lead to better understanding of financial crisis. In this research, we tried to find a prediction pattern using the Cox model. Using a company-year sample list of 19536 companies during the time period between 1384 and1395, this study investigates dynamic probability predictions for Iranian firms. This estimated pattern uses a combination of accounting data and stock market information. The pattern provides predictions of survival probability using the cox model with time-varying variables. Forecast accuracy is evaluated using receiver operating characteristics curve and the Brier score. It was found that the dynamic model has acceptable predictive power.

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APA: Copy

EBRAHIMI SARV OLIA, MOHAMMAD HASAN, BABAJANI, JAFAR, AKHOND, MOHAMMAD REZA, & Fakher, Eslam. (2019). A Pattern for Dynamic Prediction of Financial Distress by Using Survival Analysis. JOURNAL OF QUANTITATIVE ECONOMICS (QUARTERLY JOURNAL OF ECONOMICS REVIEW), 15(4 ), 167-198. SID. https://sid.ir/paper/382526/en

Vancouver: Copy

EBRAHIMI SARV OLIA MOHAMMAD HASAN, BABAJANI JAFAR, AKHOND MOHAMMAD REZA, Fakher Eslam. A Pattern for Dynamic Prediction of Financial Distress by Using Survival Analysis. JOURNAL OF QUANTITATIVE ECONOMICS (QUARTERLY JOURNAL OF ECONOMICS REVIEW)[Internet]. 2019;15(4 ):167-198. Available from: https://sid.ir/paper/382526/en

IEEE: Copy

MOHAMMAD HASAN EBRAHIMI SARV OLIA, JAFAR BABAJANI, MOHAMMAD REZA AKHOND, and Eslam Fakher, “A Pattern for Dynamic Prediction of Financial Distress by Using Survival Analysis,” JOURNAL OF QUANTITATIVE ECONOMICS (QUARTERLY JOURNAL OF ECONOMICS REVIEW), vol. 15, no. 4 , pp. 167–198, 2019, [Online]. Available: https://sid.ir/paper/382526/en

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