Optimal threshold of data envelopment analysis in bankruptcy prediction
Staňková, Michaela (Mendel University in Brno (República Txeca))
Hampel, David (Mendel University in Brno (República Txeca))

Date:	2023
Abstract:	Data envelopment analysis is not typically used for bankruptcy prediction. However, this paper shows that a correctly set up a model for this approach can be very useful in that context. A superefficiency model was applied to classify bankrupt and actively manufactured companies in the European Union. To select an appropriate threshold, the Youden index and the distance from the corner were used in addition to the total accuracy. The results indicate that selecting a suitable threshold improves specificity visibly with only a small reduction in the total accuracy. The thresholds of the best models appear to be robust enough for predictions in different time and economic sectors.
Rights:	Aquest document està subjecte a una llicència d'ús Creative Commons. Es permet la reproducció total o parcial, la distribució, i la comunicació pública de l'obra, sempre que no sigui amb finalitats comercials, i sempre que es reconegui l'autoria de l'obra original. No es permet la creació d'obres derivades.
Language:	Anglès
Document:	Article ; recerca ; Versió publicada
Subject:	Bankruptcy prediction ; Data envelopment analysis ; ROC curve ; Threshold optimization ; Validation
Published in:	SORT : statistics and operations research transactions, Vol. 47 Núm. 1 (2023) , p. 129-150, ISSN 2013-8830

Adreça original: https://raco.cat/index.php/SORT/article/view/416951
DOI: 10.57645/20.8080.02.3

22 p, 3.5 MB

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