TITLE:
Development of Altman Five-Factor Model of Assessing the Creditworthiness of an Enterprise
AUTHORS:
Boureima Bamadio, Konstantin Andreyevich Lebedev
KEYWORDS:
Estimation of Credit Status of a Company, Altman Model, Fuzzy Sets, Integral Mean-Square Approximation, Newton Method
JOURNAL NAME:
Modern Economy,
Vol.6 No.7,
July
15,
2015
ABSTRACT: In this paper, we propose
a method that uses the apparatus of the theory of fuzzy sets, together with the
five-factor model of Altman to assess the creditworthiness of an enterprise. Altman’s
model is enhanced in two ways: applies integral approximation of the root mean square
for the exact calculation of quantitative credit assessment (probability of bankruptcy),
and applies the device of fuzzy sets for ordered sets according to the degree of
confidence in the resulting probability. Some real examples of the methodology of
applications are shown. The article is theoretical in nature, the findings made
in the mathematical model have not been tested on a sufficiently large number of
enterprises.