Corporate default prediction with financial ratios and macroeconomic variables

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Journal Title
Journal ISSN
Volume Title
School of Business | Master's thesis
Date
2013
Major/Subject
Economics
Kansantaloustiede
Mcode
Degree programme
Language
en
Pages
57
Series
Abstract
Abstract: In this master thesis paper I study corporate default prediction with firm specific financial ratios and macroeconomic variables. I show how regressions default prediction ability increases when macroeconomic variables are added into the model of financial ratios. In analysis I have financial ratio data from period 1999 to 2011 from industries of construction and retail including 35000 firms and over 200000 observations. The data is from Suomen Asiakastieto, Tilastokeskus and Suomen Pankki. In measuring the goodness of the models I use different analysis of the predicted values like five levels risk classification. This risk classification can also be thought as credit rating.
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Keywords
corporate, default, prediction, credit, rating, risk, classification, macroeconomic
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