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Fіnansova dіyalnіst sub'єktіv gospodaryuvannya - Tereshchenko OO

11.6.2. Prognozuvannya bankrutstva on osnovі diskrimіnantnogo analіzu

One s nayvazhlivіshih іnstrumentіv Sistemi Rann Poperedjennia that method prognozuvannya bankrutstva of companies Je diskrimіnantny analіz. Pid diskrimіnantnim analіzom zdebіlshogo rozumіyut complex metodіv matematichnoї statistics for Relief yakogo zdіysnyuєtsya klasifіkatsіya doslіdzhuvanih odinits (of companies) fallow od values ​​obranoї sukupnostі pokaznikіv vіdpovіdno to pobudovanoї metrichnoї scale. Such a scale buduєtsya on osnovі empіrichnogo doslіdzhennya fіnansovih pokaznikіv velikoї kіlkostі of companies, odnі s yakih OPIN in fіnansovіy krizі and INSHI uspіshno prodovzhuyut his dіyalnіst.

In protsesі analіzu pіdbiraєtsya Pevnyi pokaznikіv system doslіdivshi values ​​yakih can vіdnesti pіdpriєmstvo before іnshogo chi class that s temple rіvnem ymovіrnostі sprognozuvati yogo maybutnіy fіnansovy camp. In teorії i praktitsі zdebіlshogo rozrіznyayut Univariate that bagatofaktorny diskrimіnantny analіz.

In univariate osnovі (odnovimіrnogo) analіzu hard at separate doslіdzhennya okremih pokaznikіv (SSMSC Je warehouses pevnoї Sistemi pokaznikіv) that the principle of companies klasifіkatsіyu dihotomії * 11. Vіdnesennya pіdpriєmstva to the category of "ailing" chi "health" in zdіysnyuєtsya rozrіzі okremih pokaznikіv vіdpovіdno to empіrichno pobudovanoї scale boundary values ​​doslіdzhuvanogo pokaznika. Napriklad, zgіdno Zi scale value pokaznika rentabelnostі aktivіv boundary values ​​tsogo pokaznika becoming 2%. Oznachaє Tse, scho pіdpriєmstva in yakih rentabelnіst aktivіv> 2% of the CIM kriterієm vvazhayutsya "health"; Well Yakscho tsogo pokaznika values ​​<2%, to groupies pіdpriєmstvo nalezhit sub'єktіv gospodaryuvannya Yakimov zagrozhuє fіnansova crisis.

* 11: {Dihotomіya (. M od - podіl on Dvi Chastain) - Statistical method for yakogo doslіdzhuvanu sukupnіst podіlyayut on Dvi pіdsukupnostі fallow od values ​​obranogo kriterіyu (pokaznika).}

Zagalny visnovok about yakіst fіnansovogo will pіdpriєmstva robitsya on osnovі analіzu vіdpovіdnostі pokaznikіv s skin, SSMSC vklyuchenі in spetsіalno pіdіbranu system їh limits. Nayvіdomіshimi univariate models diskrimіnantnogo analіzu Je Sistemi pokaznikіv Bіvera that Weibel.

In osnovі doslіdzhen amerikanskogo ekonomіsta V. Bіvera hard at 30 naychastіshe empathy in fіnansovomu analіzі pokaznikіv. During Find our odnorіdnostі stink boule zgrupovanі in shіst group. W kozhnoї groupies Bіver vibrat one naytipovіshomu pokazniku, SSMSC th yogo sklali prognozuvannya system * 12:

* 12: {Beaver W. Financial Ratios as Predictors of Failure. - P. 71-111}.

1) Cash-flow vіdnoshennya to pozichkovogo kapіtalu;

2) vіdnoshennya pributku I clean up balance sheet;

3) vіdnoshennya pozichkovogo kapіtalu to the balance sheet;

4) vіdnoshennya werewolf aktivіv to precisely zobov'yazan (pokaznik pokrittya);

5) vіdnoshennya robochem kapіtalu to the balance sheet;

6) vіdnoshennya rіznitsі mіzh ochіkuvanimi penny nadhodzhennyami i Flow zobov'yazannyami to vitrat pіdpriєmstva (without amortizatsії).

W vikoristannyam materіalіv analіzu 79 fіnansovo nespromozhnih i w such number of companies fіnansovo spromozhnih Bіver rozrobiv scale boundary values ​​for dermal s guidance pokaznikіv stosovno amerikanskih of companies.

In nіmetskomovnіy ekonomіchnіy lіteraturі dosit poshirenoyu Yea system pokaznikіv Weibel. In osnovі doslіdzhen, zdіysnenih P. Weibel protyagom 1960-1971 pp., Very hard analіtichnі materіali 72 shveytsarskih pіdpriєmstvah budіvelnoї, metalurgіynoї, legkoї that godinnikovoї Galuzo virobnitstva, half s yakih perebuvala in fіnansovіy krizі. Klasifіkatsіyu of companies for tsієyu system proponuєtsya zdіysnyuvati s vikoristannyam such pokaznikіv * 13:

* 13: {Weibel PF Die Aussagefahigkeit von Kriterien zur Bonitatsbeurteilung im Kreditgeschaft der Banken. - Bern, 1973. - S. 235.}

1) vіdnoshennya pozichkovogo kapіtalu to the balance sheet;

2) Revolving vіdnoshennya aktivіv to precisely zobov'yazan (pokaznik pokrittya);

3) Cash-flow vіdnoshennya to Flow (korotkostrokovih) zobov'yazan;

4) vіdnoshennya rіznitsі mіzh ochіkuvanimi penny nadhodzhennyami that precisely zobov'yazannyami to vitrat pіdpriєmstva (without amortizatsії);

5) vіdnoshennya serednogo zalishku kreditorskoї zaborgovanostі to vartostі procurement, multiplied by 365;

6) vіdnoshennya serednіh zalishkіv virobnichih zapasіv to the value of the cost of sirovinu (materіali), multiplied by 365.

For skin s guidance pokaznikіv Weibel pobuduvav vіdpovіdnі scale in viglyadі dіagram in yakih shows dinamіka values ​​pokaznikіv protyagom p'yati rokіv before nastannyam in odnієї s group of companies doslіdzhuvanih fіnansovoї nespromozhnostі.U razі, Yakscho values ​​vsіh six pokaznikіv analіzovanogo pіdpriєmstva perebuvayut in bezpechnіy zonі vіdpovіdnoї scale, tsomu sub'єktu gospodaryuvannya not zagrozhuє bankrutstvo. Yakscho Well Meaning bіlshe troh pokaznikіv nablizhaєtsya to Zoni "ailments" of companies, the analіzovane pіdpriєmstvo vvazhaєtsya so, Money Does zagrozhuє bankrutstvo. Schodo of companies in yakih less then troh pokaznikіv znahodyatsya in kritichnіy zonі, Weibel rekomenduє provoditi dodatkovy analіz.

HEAD superechlivim moment univariate diskrimіnantnogo analіzu Yea those scho Mauger values ​​okremih pokaznikіv svіdchiti about positivity rozvitok pіdpriєmstva and іnshih - about nezadovіlny. Such situatsіya unemozhlivlyuє ob'єktivne prognozuvannya bankrutstva. One іz shlyahіv virіshennya tsієї problemi Je zastosuvannya bagatofaktornogo diskrimіnantnogo analіzu. In protsesі analіzu pіdbiraєtsya number pokaznikіv for skin s yakih viznachaєtsya crowbar in so zvanіy diskrimіnantnіy funktsії. In zagalnomu viglyadі algorithm lіnіynoї bagatofaktornoї dikrimіnantnoї funktsії mozhna predstaviti in takіy formі:

Z = a0 + a1x1 + a2x2 + a3x3 + ... + anxn,

de a1, a2, a3, ..., AN - koefіtsієnti (crowbars) diskrimіnantnoї funktsії; x1, x2, x3, ..., xn - pokazniki (zmіnnі) diskrimіnantnoї funktsії.

The value okremih vag harakterizuє rіzny vpliv okremih pokaznikіv (zmіnnih) on zagalny fіnansovy pіdpriєmstva camp. Vіdnesennya analіzovanogo pіdpriєmstva to groupies "ailing" chi "healthy" values ​​od deposits іntegralnogo pokaznika, yaky Je result rozv'yazku diskrimіnantnoї funktsії and takozh od pobudovanoї on osnovі empіrichnih danih pryamoї podіlu. Direct podіlu harakterizuє boundary values ​​Z-pokaznika i sluguє bazoyu for rozrobki scale іnterpretatsії obsession values ​​Z.

Nayvіdomіshimi models prognozuvannya bankrutstva on osnovі bagatofaktornogo diskrimіnantnogo analіzu Je test bankrutstvo Tamarі (1964), Altman's model (1968), the model Beermana (1976), pokaznikіv system Bethge-Hus-Nіhausa (1987) model of Krause (1993).

Model prognozuvannya bankrutstva, rozroblena amerikanskim ekonomіstom E. Altman, takozh Got NAME "rozrahunok Z-pokaznika" Yea i klasichnoyu in svoїy sferі (Won enabled to bіlshostі zahіdnih pіdruchnikіv, prisvyachenih fіnansovomu prognozuvannyu that otsіntsі kreditospromozhnostі of companies). Pobudovana Altman diskrimіnantna funktsіya Got Taqiy viglyad:

Z = 0,012X1 + 0,014X2 + 0,033X3 + 0,006X4 + 0,999X5.

Tse p'yatifaktorna model de chinnikami vistupayut okremі pokazniki fіnansovogo will pіdpriєmstva. Adaptovano to vіtchiznyanih standartіv fіnansovoї zvіtnostі okremі zmіnnі diskrimіnantnoї funktsії toil Taqiy viglyad * 14:

* 14: {s Zgіdno anglomovnim pershodzherelom okremі pokazniki diskrimіnantoї funktsії Altman rozrahovuyutsya such rank:

X1 = Working Capital / Total assets;

X2 = Retained Earnings / Total assets;

X3 = Earnings bevore interest and taxes / Total assets;

X4 = Market value equity / Total debt;

X5 = Sales / Total assets.}

X1 - robochem kapіtal / balance sheet;

X2 - suma nerozpodіlenogo pributku (nepokritogo zbitku) is the backup kapіtalu / balance sheet;

X3 - zvichayny Prybutok to opodatkuvannya + interest for the credit / balance sheet;

X4 - rinkova vartіst of companies (corporate law rinkova vartіst) * 15 / pozichkovy kapіtal;

* 15: At {razі nemozhlivostі viznachennya rinkovoї vartostі corporate law for carrying rozrahunkіv can take vartіst Vlasnyi kapіtalu, skorigovanu on the bag prihovanih rezervіv chi prihovanih zbitkіv (Yakscho stink nayavnі). }

X5 - clean viruchka od realіzatsії produktsії / currency balance.

Provіvshi analіz 33 pairs of companies Promyslova obsyagom s balance sheet od 1 to 25 million dollars. US Altman dіyshov such visnovku schodo іnterpretatsії values ​​Z-pokaznika:

Tsіkavim Yea those scho in doslіdzhennyah Altman Z pokaznika serednє values ​​for fіnansovo nespromozhnih of companies becoming -0.29, and for groups of companies uspіshno pratsyuyuchih - + 5.02 * 16. For deyakimi Jerel, tochnіst prognozuvannya bankrutstva for tsієyu Modell becoming: in p'yat rokіv to bankrutstva - 36%; Vier Rocky - 29; three prophets - 48; the two prophets - 83; One Year - 95% * 17.

* 16: {Altman EJ Financial Ratios, Discriminant Analysis and the Prediction of Corporate Bankruptcy // Journal of Finance. - 1968. - No. 4. - P. 598.}

* 17: {Baetge J. Fruherkennung negativer Entwicklungen der zu prufenden Unternehmung mit Hilfe Kennzahlu: Die Wirtschaftsprufung, Heft 22-23. - 1980. - S. 661.}

In Nіmechchinі Vpershe zastosuvav metodologіyu bagatofaktornogo diskrimіnantnogo analіzu at doslіdzhennі fіnansovogo will of companies in 1976 p. Prof. unіversitetu m. Munster Cl. Beєrman. Svoї visnovki vіn bazuvav on empіrichnomu doslіdzhennі 21 bets of companies, half s yakih boule zbitkovimi that perebuvali in fіnansovіy krizі. Osnovnі characteristics diskrimіnantnoї funktsії Beєrmana imposed in the Table. 11.3.

table 11.3

Parameters diskrimіnantnoї funktsії BeЄrmana

Oderzhanі values ​​іntegralnogo pokaznika Beєrman rekomenduє іnterpretuvati such rank (horizon prognozuvannya One Year) * 18:

* 18: {Beermann K. Prognosemoeglichkeiten von Kapitalverlusten mit Hilfe von Jahresabschlussen. - Dusseldorf, 1976. - S. 118-121}.

Z> 0,32 - pіdpriєmstvo is staying pid zagrozoyu bankrutstva;

0,32> Z> 0,236 - nemozhlivo chіtko іdentifіkuvati, potrebuє dodatkovogo yakіsnogo analіzu;

Z <0,236 - pіdpriєmstvu not zagrozhuє bankrutstvo.

Metodologіya bagatofaktornogo diskrimіnantnogo analіzu vikoristovuvatisya Mauger yak services kontrolіngu pіdpriєmstva for svoєchasnogo viyavlennya simptomіv fіnansovoї crisis, so i banks in otsіntsі kreditospromozhnostі pozichalnika. About aktualnіst i znachimіst rozglyanutogo method prognozuvannya fіnansovogo of companies will svіdchit vzhe those scho Єvropeysky central bank for polegshennya klasifіkatsії pozichalnikіv on nadіynih that Problematic rekomenduє svoїm pіdrozdіlam and takozh komertsіynim banks vikoristovuvati in robotі galuzevy diskrimіnantny analіz. When tsomu proponuєtsya zastosovuvati three rіznі diskrimіnantnі funktsії: for Promyslova of companies, of companies that torgіvlі Gromadska harchuvannya for іnshih of companies.

Vikoristannya metodologії bagatofaktornogo diskrimіnantnogo analіzu in vіtchiznyanіy praktitsі Je dosit obmezhenim scho zumovleno such basic chinnikami:

by au-Perche, nemozhlivіstyu rozrobki Vlasnyi, galuzevih diskrimіnantnih funktsіy through vіdsutnіst fahіvtsіv dostatnoї kvalіfіkatsії;

Alternatively, vіdsutnіstyu dostatnіh koshtіv for zakupіvlі that adaptatsії zahіdnih techniques to vіtchiznyanih gospodaryuvannya minds;

in tretє, nedostatnіm rіvnem ob'єktivnostі pokaznikіv, SSMSC vіdobrazhayutsya pіdpriєmstvami in fіnansovіy zvіtnostі (problems podvіynoї buhgalterії).

At the same hour Ukraїnі vikoristovuyutsya chislennі techniques univariate diskrimіnantnogo analіzu, but the stench bezsistemnі not vrahovuyut galuzevih Especially i do not mіstyat vіdpovіdnih "klyuchіv" іnterpretatsії.