Optimal threshold of data envelopment analysis in bankruptcy prediction

• Michaela Staňková ^[1] ; David Hampel ^[1]
  1. [1] Mendel University, Brno (Chequia)
• Localización: Sort: Statistics and Operations Research Transactions, ISSN 1696-2281, Vol. 47, Nº. 1, 2023, págs. 129-150
• Idioma: inglés
• Enlaces
  • Texto completo (pdf)
• Resumen

  • Data envelopment analysis is not typically used for bankruptcy prediction. However, this paper shows that a correctly set up a model for this approach can be very useful in that context. A superefficiency model was applied to classify bankrupt and actively manufactured companies in the European Union. To select an appropriate threshold, the Youden index and the distance from the corner were used in addition to the total accuracy. The results indicate that selecting a suitable threshold improves specificity visibly with only a small reduction in the total accuracy. The thresholds of the best models appear to be robust enough for predictions in different time and economic sectors.