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Abstract(s)
My purpose with this dissertation is to investigate the relevance of financial and
economic variables as predictors of corporate bankruptcy (default) in Portugal.
Understanding the underlying issues behind corporate distress and failure is crucial for
several areas particularly: granting (or not) a bank loan, managing credit risk and
pricing debt. The present financial and economic crisis stimulated a growing interest on
matters related to corporate default, ratings and scoring models. In this dissertation, I
apply, to a sample of medium-large Portuguese companies, updated statistical models
for identifying the fundamental variables that lead to bankruptcy (and default), and if
they are mainly idiosyncratic and / or systematic, affecting simultaneously all firms. I
also fit hazard model for studying hazard rates and survival-time, trying to disclose
which variables can shield firms from a hazard event, in this case, bankruptcy. The
sample was provided by COFACE, a known credit scoring company and included full
annual financial statements, from years 2006 to 2011, adding additional requested
information, namely, about bankruptcies and legal actions against firms due to payment
default. My findings support the conclusion that some financial and economic variables
do influence bankruptcy and default probability together with survival-time, which is
perfectly anticipated by corporate finance analysis theory and practice. Nevertheless, I
reached some conclusions that contradict others from similar studies.