Importance This article discusses the impact of the company's financial performance on the likelihood of its bankruptcy, considering Russian non-financial companies as a case study. Objectives The article aims to build a model of forecasting bankruptcy of Russian companies of non-financial sector, which will 80-percent-least-reliable predict the bankruptcy of the company a year before its onset. Methods For the study, we used the methods of logit analysis and decision tree. Results The article presents a model that with more than 80-percent-reliability predicted bankruptcy of the company one year before its onset through both statistical method (logistic regression) and methods of machine learning (decision trees). Conclusions and Relevance The models obtained can be used to determine the probability of the company's bankruptcy one year before its onset. For further research in this area, it is possible to include market indicators to improve the quality of the predictive model.
Mella-Barral P., Perraudin W. Strategic Debt Service. The Journal of Finance, 1997, vol. 52, iss. 2, pp. 531–556. URL: Link
Demeshev B.B., Tikhonova A.S. [Default prediction for Russian companies: intersectoral comparison]. Ekonomicheskii zhurnal Vysshei shkoly ekonomiki = HSE Economic Journal, 2014, vol. 18, iss. 3, pp. 359–386. URL: Link (In Russ.)
Shumway T. Forecasting Bankruptcy More Accurately: A Simple Hazard Model. The Journal of Business, 2001, vol. 74, no. 1, pp. 101–124. URL: Link
Chava S., Jarrow R.A. Bankruptcy Prediction with Industry Effects. Review of Finance, 2004, vol. 8, iss. 4, pp. 537–569. URL: Link
Fedorova E., Gilenko E., Dovzhenko S. Bankruptcy Prediction for Russian Companies: Application of Combined Classifiers. Expert Systems with Applications, 2013, vol. 40, iss. 18, pp. 7285–7293. URL: Link
Tinoco M., Wilson N. Financial Distress and Bankruptcy Prediction among Listed Companies Using Accounting, Market and Macroeconomic Variables. International Review of Financial Analysis, 2013, vol. 30, pp. 394–419. URL: Link
Theodossiou P.T. Predicting Shifts in the Mean of a Multivariate Time Series Process: An Application in Predicting Business Failures. Journal of the American Statistical Association, 1993, vol. 88, iss. 422, pp. 441–449.
Wruck K.H. Financial Distress, Reorganization, and Organizational Efficiency. Journal of Financial Economics, 1990, vol. 27, iss. 2, pp. 419–444. URL: Link90063-6
Pindado J., Rodrigues L., De la Torre C. Estimating Financial Distress Likelihood. Journal of Business Research, 2008, vol. 61, iss. 9, pp. 995–1003. URL: Link
Beaver W.H. Financial Ratios as Predictors of Failure. Journal of Accounting Research, 1966, no. 4, pp. 71–111. URL: Link
Edmister R.O. Financial Ratios as Discriminant Predictors of Small Business Failure. The Journal of Finance, 1972, vol. 27, iss. 1, pp. 139–140. URL: Link
Deakin E.A. Discriminant Analysis of Predictors of Business Failure. Journal of Accounting Research, 1972, vol. 10, iss. 1, pp. 167–179. URL: Link
Altman E.I. Financial Ratios, Discriminant Analysis and the Prediction of Corporate Bankruptcy. The Journal of Finance, 1968, vol. 23, iss. 4, pp. 589–609. URL: Link
Davydova G.V., Belikov A.Yu. [Method of quantitative assessment of bankruptcy risk of enterprises]. Upravlenie riskom, 1999, no. 3, pp. 13–20. (In Russ.)
Ohlson J.A. Financial Ratios and the Probabilistic Prediction of Bankruptcy. Journal of Accounting Research, 1980, vol. 18, iss. 1, pp. 109–131. URL: Link
Mensah Y.M. An Examination of the Stationarity of Multivariate Bankruptcy Prediction Models: A Methodological Study. Journal of Accounting Research, 1984, vol. 22, iss. 1, pp. 380–395.
Bellovary J.L., Giacomino D., Akers M. A Review of Bankruptcy Prediction Studies: 1930 to Present. Accounting Faculty Research and Publications, 2006, no. 33, pp. 1–42. URL: Link
Lugovskaya L. Predicting Default of Russian SMEs on the Basis of Financial and Non-financial Variables. Journal of Financial Services Marketing, 2010, vol. 14, iss. 4, pp. 301–313. URL: Link
Altman E.I., Sabato G. Modelling Credit Risk for SMEs: Evidence from the U.S. Market. Abacus, 2007, vol. 3, iss. 43, pp. 332–357. URL: Link
Du Jardin P.Dynamics of Firm Financial Evolution and Bankruptcy Prediction. Expert Systems with Applications, 2017, June 1, no. 75, pp. 25–43. URL: Link
Ni J., Kwak W., Cheng X. et al. The Determinants of Bankruptcy for Chinese Firms. Review of Pacific Basin Financial Markets and Policies, 2014, no. 17, 22 p. URL: Link
Zmijewski M.E.Methodological Issues Related to the Estimation of Financial Distress Prediction Models. Journal of Accounting Research, 1984, vol. 22, pp. 59–82. URL: Link
Mselmi N., Lahiani A., Hamza T. Financial Distress Prediction: The Case of French Small and Medium-sized Firms. International Review of Financial Analysis, 2017, no. 50, pp. 67–80. URL: Link
Nam J.-H., Jinn T. Bankruptcy Prediction: Evidence from Korean Listed Companies during the IMF Crisis. Journal of International Financial Management and Accounting, 2000, vol. 11, iss. 3, pp. 178–197. URL: Link