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Probability of Default Modeling for Russian Non-Financial Companies

Student: Ilona Shikhliarova

Supervisor: Elena Makushina

Faculty: Faculty of Economic Sciences

Educational Programme: Economics (Bachelor)

Final Grade: 8

Year of Graduation: 2017

The main idea of the article is to create a model for predicting a bankruptcy of a company based on the most significant financial and non-financial variables, which will predict a bankruptcy of a company one year in advance with a minimum accuracy of 80%. The sample includes the data on Russian companies for the period from 2013 till 2015. The modelling is based on logit-model and decision trees. As a result of the study it was successfully determined that both modelling methods are acceptable for obtaining a reliable model. The most significant categories of variables for predicting a bankruptcy of a company turned out to be profitability, liquidity, turnover, financial leverage and company’s size.

Full text (added May 10, 2017)

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