Title: New contents and perspectives in the risk analysis of enterprises

Authors: Greta Falavigna

Addresses: Ceris-CNR, via Real Collegio 30, Moncaliere 10024 Turin, Italy; University of Eastern Piedmont, 'Amedeo Avogadro', Novara, Italy

Abstract: This paper presents a survey of techniques used for default risk analysis and it illustrates the reasons why a large number of researchers study the insolvency of firms. Firstly, there is an introduction on Basel II focusing on the first pillar and the new standards dictated by the New Basel Capital Accord (as reference, see: International Convergence of Capital Measurement and Capital Standards, Basel Committee on Banking Supervision, June 2004, Bank for International Settlements). This is followed by brief remarks about default definition and the following sections analyse different methods used for the study of default risk focusing on artificial neural network methodologies. The goal of this work is to understand if it is possible to use complex systems for the analysis of default risk and which model is the best.

Keywords: default risk; Basel II; traditional models; artificial neural networks; ANNs; rating system; credit scoring; modern approach; hybrid models; multivariate discriminant analysis; risk assessment; insolvency; standards; New Basel Capital Accord.

DOI: 10.1504/IJBPM.2008.016636

International Journal of Business Performance Management, 2008 Vol.10 No.2/3, pp.136 - 173

Published online: 11 Jan 2008 *

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