In this paper we develop statistical models for bankruptcy predic- tion of Norwegian ¯rms in the limited liability sector using annual bal- ance sheet information. We ¯t generalized linear-, generalized linear mixed- and generalized additive models in a discrete hazard setting. It is demonstrated that careful examination of the functional relationship between the explanatory variables and the probability of bankruptcy enhances the models' forecasting performance. Using information on the industry sector we model the unobserved heterogeneity between di®erent sectors through an industry-speci¯c random factor in the gen- eralized linear mixed model. The models developed in this paper are shown to outperform the model with Altman's variables at all levels of risk. As a measure of models' forecasting accuracy the area under the ROC curve is used.     «

In this paper we develop statistical models for bankruptcy predic- tion of Norwegian ¯rms in the limited liability sector using annual bal- ance sheet information. We ¯t generalized linear-, generalized linear mixed- and generalized additive models in a discrete hazard setting. It is demonstrated that careful examination of the functional relationship between the explanatory variables and the probability of bankruptcy enhances the models' forecasting performance. Using information on the...     »