Artificial Intelligence Techniques for Bankruptcy Prediction of Tunisian Companies: An Application of Machine Learning and Deep Learning-Based Models
Abstract
:1. Introduction
2. Related Literature
3. Statistical, Machine Learning and Deep Learning Techniques
3.1. Linear Discriminant Analysis (LDA)
3.2. Logistic Regression (LR)
3.3. Decision Trees (DT)
3.4. Support Vector Machine (SVM)
3.5. Random Forests (RF)
3.6. Deep Neural Network (DNN)
4. Data
5. Empirical Investigation
5.1. Predictive Performance Measures
5.1.1. Accuracy Rate
5.1.2. F1 Score
5.1.3. AUC
5.2. Results &Discussion
6. Conclusions
Author Contributions
Funding
Data Availability Statement
Conflicts of Interest
References
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Author(s) | Model(s) | Type of Input Variables | Sampling Period | Performance Criteria Used | Conclusion(s) |
---|---|---|---|---|---|
Addo et al. (2018) |
| 10 financial variables | 2016–2017 |
|
|
Hosaka (2019) |
| 133 financial items | 2002–2016 |
|
|
Noviantoro and Huang (2021) |
| 96 financial indicators | 1999–2009 |
|
|
Shetty et al. (2022) |
| Three financial ratios: the return on assets, the current ratio, and the solvency ratio | 2002–2012 |
|
|
Elhoseny et al. (2022) |
| 179 financial attributes | 2000–2013 |
|
|
Ben Jabeur and Serret (2023) |
| 17 financial variables | 2014–2017 |
|
|
Noh (2023) |
| 13 financial variables | 2012–2021 |
|
|
Duration credit to the customer | Permanent capital turnover | ||
Gross margin rate | Return on permanent capital | ||
Operating margin rate | Rate of long-term debt | ||
Ratio of personnel expenses | Ratio of financial independence | ||
Net margin rate | Total debt ratio | ||
Asset turnover | Immobilisation coverage by equity capital | ||
Equity turnover | The long- and medium-term debt capacity | ||
Economic profitability | Ratio of financial expenses | ||
rate of return on assets | Financial expenses/total debt | ||
Operating profitability of total assets | Working capital ratio | ||
Gross economic profitability | Relative liquidity ratio | ||
Net economic profitability | Quick ratio | ||
Rate of return on equity |
Predicted class “0” | Predicted class “1” | |
Real class“0” | True positive (T0) | False positive (F1) |
Real class“1” | False negative (F0) | True negative (T1) |
Models | Accuracy Rate | F1-Score | AUC | Rank |
---|---|---|---|---|
Linear Discriminant Analysis (LDA) | 80.9% | 0.890 | 0.574 | 5 |
Logistic Regression (LR) | 85.8% | 0.922 | 0.633 | 3 |
Decision Trees (DT) | 74.3% | 0.838 | 0.675 | 6 |
Random Forest (RF) | 88.2% | 0.933 | 0.815 | 2 |
Support Vector Machine (SVM) | 84.8% | 0.910 | 0.563 | 4 |
Deep Neural Network (DNN) | 93.6% | 0.964 | 0.888 | 1 |
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Hamdi, M.; Mestiri, S.; Arbi, A. Artificial Intelligence Techniques for Bankruptcy Prediction of Tunisian Companies: An Application of Machine Learning and Deep Learning-Based Models. J. Risk Financial Manag. 2024, 17, 132. https://doi.org/10.3390/jrfm17040132
Hamdi M, Mestiri S, Arbi A. Artificial Intelligence Techniques for Bankruptcy Prediction of Tunisian Companies: An Application of Machine Learning and Deep Learning-Based Models. Journal of Risk and Financial Management. 2024; 17(4):132. https://doi.org/10.3390/jrfm17040132
Chicago/Turabian StyleHamdi, Manel, Sami Mestiri, and Adnène Arbi. 2024. "Artificial Intelligence Techniques for Bankruptcy Prediction of Tunisian Companies: An Application of Machine Learning and Deep Learning-Based Models" Journal of Risk and Financial Management 17, no. 4: 132. https://doi.org/10.3390/jrfm17040132