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Theses

La détection avancée du risque de défaut : el'impact de l'information comptable sur le risque de faillite et le risque boursier

Abstract : The problematic of this thesis is the impact of accounting information on the risk or failure and on the market risk form firms. We have showed that the financial theory is not unified about the risk of failure. We have improved the prediction of failure risk with expert system and with a new building method of discrimination model. The expert system detects some accounting handing. Therefore the statistical analysis is more reliable with the expert system. The improvement of discrimination model is the use of step by step building under two constraints (statistical and financial constraints). The risk of failure rating includes the sectorial activity and the last accounting innovation (The cash flow of R. Dornier). The model is conceived with 901 firms and tested with 5000 balance sheets belonging to SNVB customers. For firms rating on the stock exchange, we have successively realised an analytical and empirical approach to apprehend the impact of accounting information on the market risk. We pointed out in two theorical models that the evaluation of market risk may be improved by accounting variables such as the firm growth. Finally, we have showed, on a small sample (155 cases) that the impact of accounting information may be improved by mathematical fonction of jump on the share returns distributions.
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Theses
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http://docnum.univ-lorraine.fr/prive/BUG_T_1996_0001_DAMEL.pdf
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https://hal.univ-lorraine.fr/tel-01776677
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Submitted on : Tuesday, April 24, 2018 - 4:04:53 PM
Last modification on : Wednesday, April 25, 2018 - 1:32:10 AM

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  • HAL Id : tel-01776677, version 1

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Pascal Damel. La détection avancée du risque de défaut : el'impact de l'information comptable sur le risque de faillite et le risque boursier. Gestion et management. Université Nancy 2, 1996. Français. ⟨NNT : 1996NAN22001⟩. ⟨tel-01776677⟩

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