Timofeev Ya.V.Financial University under Government of Russian Federation, Moscow, Russian Federation timofeo@bk.ru
The purpose of the study is to offer a model with the highest forecast power to predict bankruptcy of Russian enterprises. To test the forecasting abilities of existing foreign and domestic models, we obtained the financial statements of 3,487 Russian enterprises from the SPARK and RUSLANA databases. Out of foreign models, the Fulmer model demonstrated the best results. Correct predictions (for transport) totaled 80.4%, for sound enterprises this indicator was 88.7%, and for bankrupts it was 72.1%. The Fulmer model uses a large number of factors (nine), therefore, it is more stable than other techniques. The Altman model is not completely applicable for predicting the bankruptcy sound enterprises in Russian environment. Under this the model true prediction totaled 71.3%. The domestic models of Zaitseva and Saifullina predict bankruptcy of enterprises (in agriculture) only in 58.6% and 62.6% of cases respectively. The model of the Irkutsk University showed the overall result of predicting bankruptcy of 65.1% (in transport). In general, we point out the asymmetry of results in assessing the likelihood bankruptcy. All models (except the Fulmer model) have a slight shift to sampling that consists of bankrupt enterprises. That is, these models are better applicable for predicting bankrupt enterprises, rather than sound ones.
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