Ceris-CNR Working paper 17/2004

 

Modelli di analisi e previsione
del rischio di insolvenza.
Una prospettiva delle metodologie applicate
[Analysis and forecasting models for default risk. A survey of applied methodologies]

 

Nadia D’Annunzio*, Greta Falavigna**

 

Abstract. During the last three decades various models have been proposed by the literature to predict the risk of bankruptcy and of firm insolvency, which make use of structural and empirical tools, namely rating system, credit scoring, option pricing and three alternative methods (fuzzy logic, efficient frontier and a forward looking model).

In the present paper we focus on experting systems of neural networks, by taking into account theoretical as well as empirical literature on the topic.

Adding to this literature, a set of alternative indicators is proposed that can be used in addition to traditional financial ratios. 

 

Keywords: rischio d’insolvenza, default, neural networks, option pricing, sistemi esperti, algoritmi genetici, logica fuzzy

JEL: C45, C53, C67, G33

 

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* Ceris-Cnr, Via Avogadro, 8, 10121 Torino (Italia),
tel.  +39.011.5601.242,
fax. +39.011.5626058
e-mail: 
n.dannunzio@ceris.cnr.it

 **  Università di Bergamo e Ceris-Cnr,
PhD Student in Economia e management della tecnologia, Università di Bergamo
 e Ceris-Cnr, Via A. Avogadro, 8, 10121 Torino (Italia),
tel.
+39.011.5601.221
fax. +39.011.562.6058
e-mail:
g.falavigna@ceris.cnr.it
           greta.falavigna@unibg.it
      

I risultati dello studio sono frutto di un lavoro congiunto dei due autori anche se Nadia D’Annunzio ha curato la stesura dei paragrafi 4, 6 e 7, mentre Greta Falavigna ha curato i paragrafi 1, 2, 3 e 5.