Mathematical model design for predicting bankruptcy of companies accepted in the Tehran Stock Exchange

Subject Areas : Financial engineering

Reza Pirayesh ¹ , Hassan Dadashi Arani ² , Mohammadreza Barzegar ³

1 - Assistant Professor, Department of Management and Accounting, University of Zanjan
2 - Assistant Professor, Department of Financial Mathematics, University of Basic Sciences, Zanjan
3 - Graduate student of financial mathematics, University of Zanjan Graduate Studies Foundation

Received: 2016-11-02 Accepted : 2017-01-24 Published : 2017-06-22

Keywords: profitability, Prediction, Logistic regression, bankruptcy, Companies Accepted in the Tehran Stock Exchange,

Abstract :

In this research, five major bankruptcy predictions model to study and among the components of the five models, redesigned bankruptcy prediction is provided that consists of eight variables. The main issue in this research is that by examining the financial statements of listed companies in Tehran Stock Exchange we can offer a model to predict corporate bankruptcy. In order to design data from two groups of companies accepted in the Tehran Stock Exchange use the first group consists companies surveyed non-bankrupt company and second group included bankrupt company. The study period financial statements of exchange data during the years have been 2005 to 2014. The study results in relation to the ability to predict model reflects the fact that the model could be two years before the bankruptcy of companies provide accurate predictions about the crisis and bankruptcy. The results show that the predictive power of the model for one year before bankruptcy 91% and two years before the bankruptcy 83%.