# SOLVENCY ASSESSMENT IN AN UNBALANCED SAMPLE

### Javier De Andrés, Pedro Lorca, Fernando Sánchez-Lasheras, Francisco Javier De Cos-Juez

#### Abstract

This paper proposes an improved approach to the assessment of firms’ solvency. First, sound companies are classified into clusters according to their financial similarities by using Kohonen’s Self Organizing Maps (SOM). Then, each cluster is replaced by a director vector which summarizes all the companies that the cluster includes. The next step is the estimation of a classification model through Multivariate Adaptive Regression Splines (MARS). For the test of the model we considered a real setting of Spanish enterprises from the construction sector. In this dataset the proportion of distressed firms is very close to that which is derived from Economic statistics. Our results indicate that our system performs better than two benchmarking models, namely a back-propagation neural network and a simple MARS model.

#### References

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#### Paper Citation

#### in Harvard Style

De Andrés J., Lorca P., Sánchez-Lasheras F. and De Cos-Juez F. (2011). **SOLVENCY ASSESSMENT IN AN UNBALANCED SAMPLE** . In *Proceedings of the International Conference on Knowledge Management and Information Sharing - Volume 1: KMIS, (IC3K 2011)* ISBN 978-989-8425-81-2, pages 283-286. DOI: 10.5220/0003620202830286

#### in Bibtex Style

@conference{kmis11,

author={Javier De Andrés and Pedro Lorca and Fernando Sánchez-Lasheras and Francisco Javier De Cos-Juez},

title={SOLVENCY ASSESSMENT IN AN UNBALANCED SAMPLE},

booktitle={Proceedings of the International Conference on Knowledge Management and Information Sharing - Volume 1: KMIS, (IC3K 2011)},

year={2011},

pages={283-286},

publisher={SciTePress},

organization={INSTICC},

doi={10.5220/0003620202830286},

isbn={978-989-8425-81-2},

}

#### in EndNote Style

TY - CONF

JO - Proceedings of the International Conference on Knowledge Management and Information Sharing - Volume 1: KMIS, (IC3K 2011)

TI - SOLVENCY ASSESSMENT IN AN UNBALANCED SAMPLE

SN - 978-989-8425-81-2

AU - De Andrés J.

AU - Lorca P.

AU - Sánchez-Lasheras F.

AU - De Cos-Juez F.

PY - 2011

SP - 283

EP - 286

DO - 10.5220/0003620202830286