développement d’un indicateur comptes annuels des sociétés .développement d’un indicateur

Download Développement d’un indicateur comptes annuels des sociétés .Développement d’un indicateur

Post on 14-Sep-2018

212 views

Category:

Documents

0 download

Embed Size (px)

TRANSCRIPT

  • Working Paper Document

    Dveloppement dun indicateur de sant fi nancire bas sur les

    comptes annuels des socits

    David Vivet

    Avril 2011 N 213

  • NBB WORKING PAPER No. 213 - APRIL 2011

    Editorial Director Jan Smets, Member of the Board of Directors of the National Bank of Belgium

    Statement of purpose: The purpose of these working papers is to promote the circulation of research results (Research Series) and analytical studies (Documents Series) made within the National Bank of Belgium or presented by external economists in seminars, conferences and conventions organised by the Bank. The aim is therefore to provide a platform for discussion. The opinions

    expressed are strictly those of the authors and do not necessarily reflect the views of the National Bank of Belgium.

    Orders For orders and information on subscriptions and reductions: National Bank of Belgium, Documentation - Publications service, boulevard de Berlaimont 14, 1000 Brussels. Tel +32 2 221 20 33 - Fax +32 2 21 30 42 The Working Papers are available on the website of the Bank: http://www.nbb.be.

    National Bank of Belgium, Brussels All rights reserved. Reproduction for educational and non-commercial purposes is permitted provided that the source is acknowledged.

    ISSN: 1375-680X (print) ISSN: 1784-2476 (online)

  • NBB WORKING PAPER No. 213 - APRIL 2011

    Abstract

    This document describes the development of a financial health indicator based on companies' financial statements. This indicator is conceived as a weighted combination of variables, which is achieved through a model discriminating between failing firms and non-failing firms. The definition of failure is based on a legal criterion, namely that a company is considered to have failed if it has faced bankruptcy or judicial administration in the past. Based on the model results, companies are positioned in financial health classes, which are intended to be included in the "company files" designed by the Central Balance Sheet Office. Key words: Corporate failure, logistic regression, micro-data, financial statements JEL Codes: C25, G30, G33

    Corresponding author: David Vivet, Microeconomic Information Department, NBB, e-mail: david.vivet@nbb.be The author would like to thank Philippe Mos (Research Department) and Patrick Van Roy (Finan-cial Stability Department) for their valuable comments on an earlier version of this paper. He also thanks colleagues from the Microeconomic Information Department, in particular Franois Coppens for stimulating conversations. Research results and conclusions expressed are those of the author and do not necessarily reflect the views of the National Bank of Belgium or any other institution to which the author is affiliated.

  • NBB WORKING PAPER No. 213 - APRIL 2011

    TABLE DES MATIRES INTRODUCTION ........................................................................................................................... 1 PARTIE I MTHODOLOGIE .................................................................................................... 3 I.1 POPULATION TUDIE ..................................................................................................... 3 I.2 VARIABLE DPENDANTE .................................................................................................. 5 I.2.1 Notion de dfaillance ...................................................................................................... 5 I.2.2 Variables ........................................................................................................................ 6 I.3 VARIABLES INDPENDANTES .......................................................................................... 9 I.3.1 Variables financires ...................................................................................................... 9 I.3.2 Taille ............................................................................................................................ 13 I.3.3 ge .............................................................................................................................. 15 I.3.4 Variables contextuelles ................................................................................................. 16 I.4 WINSORISATION ............................................................................................................. 17 I.5 PRSENTATION SIMPLIFIE DE LA RGRESSION LOGISTIQUE ................................. 17 I.6 CRITRES D'VALUATION .............................................................................................. 19 I.6.1 Tests statistiques gnraux .......................................................................................... 19 I.6.2 Efficacit prdictive ....................................................................................................... 20 I.6.3 Coefficients individuels ................................................................................................. 22 PARTIE II ANALYSES PRLIMINAIRES ............................................................................... 23 II.1 ANALYSE DE DEFDETAIL ................................................................................................ 23 II.2 RGRESSIONS LOGISTIQUES UNIVARIES .................................................................. 26 II.3 LMENTS DE DISTRIBUTION ........................................................................................ 30 II.4 CORRLATIONS .............................................................................................................. 34 II.5 INTERACTIONS ................................................................................................................ 35 II.5.1 Interactions entre ENDET et CASHNEG ....................................................................... 36 II.5.2 Interactions entre REXBRU et les classes de taille ........................................................ 37 II.5.3 Interactions entre VALACT et les classes de taille ......................................................... 39 II.6 RGRESSIONS LOGISTIQUES STEPWISE ..................................................................... 40 PARTIE III MODLE ET INDICATEUR DE SANT FINANCIRE ........................................... 42 III.1 MODLE DE SANT FINANCIRE ................................................................................... 42 III.1.1 Description ................................................................................................................... 42 III.1.2 Interprtation ................................................................................................................ 43 III.1.3 valuation .................................................................................................................... 45 III.2 INDICATEUR DE SANT FINANCIRE ............................................................................ 48 III.3 CLASSES DE SANT FINANCIRE ................................................................................. 50 III.3.1 Dfinition ...................................................................................................................... 50 III.3.2 Caractrisation financire ............................................................................................. 53 III.3.3 volution de la distribution des socits ........................................................................ 55 III.4 UTILISATION DANS LES DOSSIERS D'ENTREPRISE ..................................................... 55 CONCLUSION ............................................................................................................................ 57 BIBLIOGRAPHIE ........................................................................................................................ 59

  • NBB WORKING PAPER No. 213 - APRIL 2011

    ANNEXE 1 DFINITION DES VARIABLES INDPENDANTES ................................................ 65 ANNEXE 2 FRQUENCE DE DFAILLANCE PAR BRANCHE D'ACTIVIT ............................ 68 ANNEXE 3 IMPACT DE LA WINSORISATION SUR LA DISTRIBUTION DES RATIOS ............ 69 ANNEXE 4 STATISTIQUES DESCRIPTIVES EN FONCTION DE DEFDETAIL ........................ 71 ANNEXE 5 DETTES CHUES ENVERS LE FISC ET L'ONSS ................................................. 75 ANNEXE 6 RGRESSIONS UNIVARIES - VARIABLES DE TAILLE ET D'AGE ..................... 76 ANNEXE 7 MATRICE DE CORRLATION ............................................................................... 77 ANNEXE 8 TAUX DE DEFAILLANCE PAR ANNE ET INTERVALLES DE CONFIANCE ........ 78 ANNEXE 9 TAUX DE DFAILLANCE UN, DEUX ET TROIS ANS ......................................... 79 ANNEXE 10 DISTRIBUTION PAR CLASSE DE SANT FINANCIRE ....................................... 80 ANNEXE 11 DISTRIBUTION PAR CLASSE DE SANT FINANCIRE ....................................... 81 ANNEXE 12 PRSENTATION DANS LES DOSSIERS D'ENTREPRISE .................................... 85

  • INTRODUCTION

    Ce document synthtise les travaux lis au dveloppement d'un indicateur de sant financire bas sur les comptes annuels des socits. Cet indicateur est conu comme une combinaison pondre de variables, qui est atteinte au moyen d'un modle construit de la mme manire qu'un modle de prdiction des dfaillances. Le modle prend la forme d'une rgression logistique discriminant entre les socits dfaillantes d'une part, les socits non dfaillantes d'autre part. La dfinition de la dfaillance est base sur un critre juridique: une socit est considre comme dfaillante si elle a fait l'objet d'une faillite ou d'un concordat judiciaire dans le pass. L'indicateur rsume la situation de chaque socit en une valeur unique qui tient compte simultanment des dimensions de solvabilit, de liquidit et de rentab

Recommended

View more >