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2021-10-02 - Colloque/Présentation - communication orale - Anglais - 30 page(s)

Cultrera Loredana , Vermeylen Guillaume , "An Evaluation of Selection Techniques for Bankruptcy Prediction Models: Does the Position in the Global Value Chain Matter?" in International Risk Management Conference (IRMC), Cagliari, Italie, 2021

  • Codes CREF : Economie (DI4300), Gestion financière (DI4361), Econométrie et méthodes statistiques : théorie et applications (DI4316)
  • Unités de recherche UMONS : Analyse économique du travail (W718), Finance (W751)
  • Instituts UMONS : Institut des Sciences et du Management des Risques (Risques), Institut de Recherche en Développement Humain et des Organisations (HumanOrg)
  • Centres UMONS : Economie Appliquée (CREA)

Abstract(s) :

(Anglais) This study introduces a comparison analysis in the application of statistical and artificial intelligent techniques to solve the bankruptcy forecasting problem faced by small and medium size firms. Relying on a comprehensive bankruptcy database of 7,104 Belgian SMEs, we show that intelligent techniques yield superior prediction performance when predicting bankruptcy. Interestingly, our empirical results are sensible to the position of the firm in the global value chain (GVC), with prediction performance of key variables being lowered for firms behaving upstream in the production process, providing support to upward contagion effects of bankruptcy along the GVC.