Efficacies of artificial neural networks ushering improvement in the prediction of extant credit risk models

Figures & data

Table 1. List of default drivers

Tag	Description	Tag	Description
X1	Net Profit/Total Assets	X33	Operating Expenses/Short-Term Liabilities
X2	Total Liabilities/Total Assets	X34	Operating Expenses/Total Liabilities
X3	Working Capital/Total Assets	X35	Profit on Sales/Total Assets
X4	Current Assets/Short-Term Liabilities	X36	Total income/Total Assets
X5	[(Cash + Short-Term Securities + Receivables - Short- Term Liabilities)/(Operating Expenses - Depreciation)] * 365	X37	(Current Assets - Inventories)/Long-Term Liabilities
X6	Retained Earnings/Total Assets	X38	Constant Capital/Total Assets
X7	Ebit/Total Assets	X39	Profit on Sales/Sales
X8	Book Value of Equity/Total Liabilities	X40	(Current Assets - Inventory - Receivables)/Short-Term Liabilities
X9	Gross Sales/Total Assets	X41	Total Liabilities/((Profit on Operating Activities + Depreciation) * (12/365))
X10	Equity/Total Assets	X42	Profit on Operating Activities/Sales
X11	(Gross Profit + Extraordinary Items + Financial Expenses)/Total Assets	X43	Rotation Receivables + Inventory Turnover In Days
X12	Gross Profit/Short-Term Liabilities	X44	(Receivables * 365)/Sales
X13	(Gross Profit + Depreciation)/Sales	X45	Net Profit/Inventory
X14	(Gross Profit + Interest)/Total Assets	X46	(Current Assets - Inventory)/Short-Term Liabilities
X15	(Total Liabilities * 365)/(Gross Profit + Depreciation)	X47	(Inventory * 365)/Cost of Products Sold
X16	(Gross Profit + Depreciation)/Total Liabilities	X48	EBITDA (Profit on Operating Activities - Depreciation)/Total Assets
X17	Sales/Fixed Assets	X49	EBITDA (Profit on Operating Activities - Depreciation)/Sales
X18	Gross Profit/Total Assets	X50	Current Assets/Total Liabilities
X19	Gross Profit/Sales	X51	Short-Term Liabilities/Total Assets
X20	(Inventory * 365)/Sales	X52	(Short-Term Liabilities * 365)/Cost of Products Sold)
X21	Sales (N)/Sales (N-1)	X53	Equity/Fixed Assets
X22	Profit on Operating Activities/Total Assets	X54	Constant Capital/Fixed Assets
X23	Net Profit/Sales	X55	Working Capital
X24	Gross Profit (In 3 Years)/Total Assets	X56	(Sales - Cost of Products Sold)/Sales
X25	(Equity - Share Capital)/Total Assets	X57	(Current Assets - Inventory - Short-Term Liabilities)/(Sales - Gross Profit - Depreciation)
X26	(Net Profit + Depreciation)/Total Liabilities	X58	Total Costs/Total Sales
X27	Profit on Operating Activities/Financial Expenses	X59	Long-Term Liabilities/Equity
X28	Working Capital/Fixed Assets	X60	Sales/Inventory
X29	The logarithm of Total Assets	X61	Sales/Receivables
X30	(Total Liabilities - Cash)/Sales	X62	(Short-Term Liabilities *365)/Sales
X31	(Gross Profit + interest)/Sales	X63	Sales/Short-Term Liabilities
X32	(Current Liabilities * 365)/Cost of Products Sold	X64	Uncertainty Index

*Data and code will be available on request by reaching to the corresponding author [e-mail]/[e-mail]

Table 2a. Test & score analysis

Model	AUC	CA	F1	Precision	Recall
AdaBoost	0.671	0.701	0.701	0.700	0.701
Logistic Regression	0.682	0.660	0.584	0.635	0.660
Naïve Bayes	0.699	0.636	0.644	0.671	0.636
Neural Network	0.815	0.751	0.752	0.752	0.751
Random Forest	0.821	0.753	0.753	0.753	0.756
Tree	0.636	0.711	0.709	0.707	0.711

Table 3. Test & score analysis

Model	AUC	CA	F1	Precision	Recall
AdaBoost	0.671	0.701	0.701	0.700	0.701
Logistic Regression	0.682	0.660	0.584	0.636	0.660
Naïve Bayes	0.699	0.637	0.645	0.672	0.637
Neural Network	0.812	0.744	0.743	0.741	0.744
Random Forest	0.822	0.758	0.753	0.752	0.757
Tree	0.635	0.711	0.708	0.707	0.711