Assessment of the probability of bankruptcy of construction companies - Курсовая работа

ПЕРМСКИЙ ФИЛИАЛ ФЕДЕРАЛЬНОГО ГОСУДАРСТВЕННОГО АВТОНОМНОГО ОБРАЗОВАТЕЛЬНОГО УЧРЕЖДЕНИЯ ВЫСШЕГО ОБРАЗОВАНИЯ «НАЦИОНАЛЬНЫЙ ИССЛЕДОВАТЕЛЬСКИЙ УНИВЕРСИТЕТ «ВЫСШАЯ ШКОЛА ЭКОНОМИКИ» ФАКУЛЬТЕТ ЭКОНОМИКИ, МЕНЕДЖМЕНТА И БИЗНЕС-ИНФОРМАТИКИ COURSE WORK ASSESSMENT OF THE PROBABILITY OF BANKRUPTCY OF CONSTRUCTION COMPANIES Рецензент Итурриага Феликс Хавьер Лопес Руководитель А.М. Емельянов Пермь 2016 Abstract This study is dedicated to the problem of bankruptcy prediction. Nowadays the evaluation of firm’s creditworthiness has become a vital part of any business since there are an increasing number of insolvent firms. The aim of the research is to investigate what financial ratios can be treated as effective predictors of failure for Russian firms in building sector. The data consists of nine coefficients derived from the financial statement for 45 firms that faced bankruptcy procedure from 2009 to 2015 and 177 companies which operated well during this period. As a result two logit models are constructed with predictive ability over 81%. One model includes government regulatory coefficients and shows that absolute liquidity ratio has the most significant impact on firm’s failure. Another model proves the fact that coefficients which were widely employed by Western and Russian authors can be reliable predictors for company’s bankruptcy. В настоящее время оценка кредитоспособности фирмы стала неотъемлемой частью любого бизнеса, так как в России наблюдается все большее число банкротств. Цель исследования - проанализировать, какие финансовые показатели могут рассматриваться как эффективные предсказатели банкротств российских строительных фирм. Contents Introduction 1. Theoretical background 1.1 Bankruptcy 1.2 The earliest studies 1.3 Multiple Discriminant analysis 1.4 Logit modeling in bankruptcy prediction 1.5 Validation of the logit model 1.6 Neural networks 1.7 Sources for data 2. Research question 2.1 Comparison of MDA logit model and neural network 2.2 Limitations for financial ratios of building firms 2.3 Financial ratios employed to the research 3. Methodology 3.1 Data collection 3.2 Economic purpose of the financial ratios 3.3 Descriptive statistics 3.4 Interpretation of the results Conclusion Introduction Prediction for the company’s bankruptcy has always been an issue of much concern and tends to be more essential nowadays due to deteriorating economic situation and increasing number of insolvent building firms, especially in Russia. For instance, according to statistics, 2700 Russian building companies went for bankruptcy for 2015 year which is 5 times more in comparison with the previous year (Internet resource №1). Probably, the only positive side of this is that researchers have got a new data to test their predictive models. Investigations on this field of study could be valuable for wide audience. First of all, managing directors have to be informed about financial health either of their own company, or the firms they deal with, in order to make sure if the current business policy is successful and the counterparty risk is minimized. It is especially important for managers to estimate risks of firm’s solvency before offering commercial credit or assigning new contracts. Historically the traditional approach of the counterparty risk evaluation is to rely on rating issued by credit rating agencies; however, many specialists claim that these ratings are more likely to be reactive rather than predictive. Secondly, possible users of information on bankruptcy prediction may be investors who need to decide whether to participate in the funding of construction or it is too risky. Thirdly, banks have been using different models based on ratio analysis to evaluate client’s creditworthiness. Hence, the study can facilitate to more reliable lending practice and correct assessment of interest rates that reflect credit risk. Large variety of practical purposes mentioned above cause much interest in study of the bankruptcy prediction area. The aim of my investigation is to evaluate how particular financial indicators can serve as predictors for the company’s bankruptcy in Russian building sector. For this purpose several tasks should be accomplished. First of all, it is essential to conduct theoretical justification for the most fundamental studies of western and Russian authors in the scientific area. Next, relying on the literature review I am going to define what factors can comprehensively describe a financial condition of the firms. Thirdly, I am intended to select financial ratios for the companies from building sector. Then, I will collect data set for these financial indicators prior one year to actual company’s bankruptcy procedure including government regulators. Thirdly, I am intended to define, what indicators are the strongest at increasing the predictive power of the model. And finally I am going to test predictive accuracy of the model by means of ROC curve and per cent correctly predicted value. The methodol