Comparative study of bankruptcy prediction model

Sammanfattning: This paper evaluates the predictive ability of two recently proposed mixed bankruptcy prediction models, Chava & Jarrow (2004) and Campbell, Hilscher, and Szilagyi (2008) respectively,and evaluate the performance of the two models by ROC curve and CAP curve. The result shows, the model from Campbell et al is better. The reason behind might be the enhanced explanatory power of extended three variables in Campbell et al’s model MB, CASHMITA and PRICE and more market information are included in Campbell et al’s model.