Evaluation of credit risk based on firm performance

Psillaki, M; Tsolas, IE; Margaritis, D

dc.contributor.author	Psillaki, M	en
dc.contributor.author	Tsolas, IE	en
dc.contributor.author	Margaritis, D	en
dc.date.accessioned	2014-03-01T01:33:27Z
dc.date.available	2014-03-01T01:33:27Z
dc.date.issued	2010	en
dc.identifier.issn	0377-2217	en
dc.identifier.uri	https://dspace.lib.ntua.gr/xmlui/handle/123456789/20419
dc.subject	Bankruptcy prediction	en
dc.subject	Credit risk	en
dc.subject	Data envelopment analysis (DEA)	en
dc.subject	Directional distance functions	en
dc.subject	G21	en
dc.subject.classification	Management	en
dc.subject.classification	Operations Research & Management Science	en
dc.subject.other	Bankruptcy prediction	en
dc.subject.other	Best practice	en
dc.subject.other	Business failure	en
dc.subject.other	Credit risk	en
dc.subject.other	Credit risks	en
dc.subject.other	Directional distance functions	en
dc.subject.other	Directional technology	en
dc.subject.other	Distance functions	en
dc.subject.other	Efficiency measure	en
dc.subject.other	Explanatory power	en
dc.subject.other	Financial indicator	en
dc.subject.other	Firm Performance	en
dc.subject.other	G21	en
dc.subject.other	Logit regression model	en
dc.subject.other	Non-parametric	en
dc.subject.other	Data envelopment analysis	en
dc.subject.other	Linear programming	en
dc.subject.other	Plant shutdowns	en
dc.subject.other	Regression analysis	en
dc.subject.other	Risk assessment	en
dc.subject.other	Risk perception	en
dc.subject.other	Risk analysis	en
dc.title	Evaluation of credit risk based on firm performance	en
heal.type	journalArticle	en
heal.identifier.primary	10.1016/j.ejor.2009.03.032	en
heal.identifier.secondary	http://dx.doi.org/10.1016/j.ejor.2009.03.032	en
heal.language	English	en
heal.publicationDate	2010	en
heal.abstract	This paper investigates whether productive inefficiency measured as the distance from the industry's 'best practice' frontier is an important ex-ante predictor of business failure. We use samples of French textiles, wood and paper products, Computers and R&D companies to obtain efficiency estimates for individual firms in each industry. These efficiency measures are derived from a directional technology distance function constructed empirically using non-parametric data envelopment analysis (DEA) methods. Estimating binary and ordered logit regression models we find that productive efficiency has significant explanatory power in predicting the likelihood of default over and above the effect of standard financial indicators. (C) 2009 Elsevier B.V. All rights reserved.	en
heal.publisher	ELSEVIER SCIENCE BV	en
heal.journalName	European Journal of Operational Research	en
dc.identifier.doi	10.1016/j.ejor.2009.03.032	en
dc.identifier.isi	ISI:000271261200022	en
dc.identifier.volume	201	en
dc.identifier.issue	3	en
dc.identifier.spage	873	en
dc.identifier.epage	881	en