Το μοντέλο του Altman και οι γενικεύσεις του
Altman's model and it's generalizations
KeywordsΒασιλεία ; Πιστωτικός κίνδυνος ; Διαχωριστική ανάλυση ; Altman’s Z-score ; Πολυμεταβλητή ανάλυση
The great interest of credit risk in recent years and the requirements of the institutions (Basel) lead to the continuous effort of forecasting models development. The aim of this MSc thesis is to present, a credit rating model based on multivariate discriminant analysis, the Altman’s Model which was developed in 1968. We provide descriptions about variables, weights and cut-off points selections. After that empirical results and conclusions are presented, such as the optimization from Z-score to ZETA score Variations of Altman’s model are presented as well, not only from himself but also from other researchers of that era. At the end of this dissertation, we apply the Altman’s method to simulated data and compare the results obtained. As a conclusion, it should be noted that the model of Altman, requires improvements. Already in the literature we can find several researchers who proposed extensions and improvements of the model, which is more appropriate for fitting to real market data.