Ricerc@Sapienza

To improve credit risk management, there is a lot of interest in bankruptcy predictive models. Academic research has mainly used traditional statistical techniques, but interest in the capability of machine learning methods is growing [1][2][3][4]. This Italian case study pursues the goal of developing a commercial firms insolvency prediction model. In compliance with the Basel II Accords, the major objective of the model is an estimation of the probability of default which is the likelihood of a default over a given time horizon, typically one year.

To improve credit risk management, there is a lot of interest in bankruptcy predictive models. Academic research has mainly used traditional statistical techniques, but interest in the capability of machine learning methods is growing. This Italian case study pursues the goal of developing a commercial firms insolvency prediction model. In compliance with the Basel II Accords, the major objective of the model is an estimation of the probability of default over a given time horizon, typically one year.