Το μοντέλο του Altman και οι γενικεύσεις του

Αλεξόπουλος, Χρήστος

Altman's model and it's generalizations

Master Thesis

Author

Αλεξόπουλος, Χρήστος

Date

2020

Abstract

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.

Postgraduate Studies Programme

Αναλογιστική Επιστήμη και Διοικητική Κινδύνου

Department

Σχολή Χρηματοοικονομικής και Στατιστικής. Τμήμα Στατιστικής και Ασφαλιστικής Επιστήμης

Number of pages

Language

Greek

URI

https://dione.lib.unipi.gr/xmlui/handle/unipi/13063
http://dx.doi.org/10.26267/unipi_dione/486

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Τμήμα Στατιστικής και Ασφαλιστικής Επιστήμης

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