Dissertation/Thesis Abstract

Predicting bankruptcy and catastrophic loss: A portfolio approach
by McKibben, Michael, M.S., Duquesne University, 2017, 55; 10268695
Abstract (Summary)

This paper uses logistic regression to assign risk of catastrophic loss (defined as a loss of 80% or more of market cap value) to companies, and analyzes the subsequent returns of high risk and low risk portfolios. In the final model, the low risk portfolio had a three-year mean return of approximately 47%, with a catastrophic loss rate of 1.1%. The high-risk portfolio had a three-year mean return of approximately .5%, with a catastrophic loss rate of 29%. The paper expands upon a model developed by Dr. Abhay Gaur and Dr. Leo Rebholz in Rebholz’s 2002 thesis, Bankruptcy as Cusp Catastrophe. This paper first validates the model, introduces a new variable, which examines financial momentum, and transforms the bankruptcy variable to catastrophic loss. The success of the model was viewed through a comparative approach of high and low risk portfolios.

Indexing (document details)
Advisor: Gaur, Abhay
Commitee: D'Amico, Frank, Kern, John, Tierney, Sean
School: Duquesne University
Department: Computational Mathematics
School Location: United States -- Pennsylvania
Source: MAI 56/04M(E), Masters Abstracts International
Subjects: Statistics, Finance
Keywords: Bankruptcy, Catastrophic loss, Cusp model, Logistic regression, Portfolio
Publication Number: 10268695
ISBN: 978-1-369-76996-8
Copyright © 2021 ProQuest LLC. All rights reserved. Terms and Conditions Privacy Policy Cookie Policy