Micro financial credit risk metrics: A proposed model for bankruptcy and its estimation

The main purpose of this thesis is to propose a theoretical model that incorporates the dynamics of the firms for bankruptcy process. The proposed model has an aim to overcome weaknesses of the previously developed models. The most important feature of the proposed model is that it changes the way of approaching the problem for predicting bankruptcy. The power of the model comes from linking the main dynamics of the firm to value addition and dilution processes. The linkages between the dynamics of the firms and the bankruptcy process are set in a sense that the model brings a wider perspective. Empirical investigation of proposed model is conducted on manufacturing firms listed in Istanbul Stock Exchange (ISE) for the period from 2007 to 2011. The analyses are carried out within the structure of cross-sectional framework. Empirical results of proposed model indicate that the estimated models give promising results in case of one and two years before the final condition of the firms. Estimated models perform over 90% correct classifications for 2010 and 2011. In terms of practical implication, it is claimed that the proposed model will be benefited by all stakeholders as a general road map in financial environment.Anahtar Kelimeler: Mikro Finansal Kredi Risk Ölçütü, Modelleme, İflas, Finansal Sıkıntı