This is an Academic Project based on the Polish Company Bankruptcy Dataset, notice that in this project we used 1st year data to train the model and 5th year data as a holdout set for testing
Goals:
Perform PCA on the original data, compare different models and fine tune models balancing the type I and type II error. Find features with highest importance out of 64 features Error Analysis on the Confusion Matrix
Target explaination:
- 0 - company that did not bankrupt in the forecasting period
- 1 - bankrupted company
Features explaination:
- X1 net profit / total assets
- X2 total liabilities / total assets
- X3 working capital / total assets
- X4 current assets / short-term liabilities
- X5 ((cash + short-term securities + receivables - short-term liabilities) / (operating expenses - depreciation)) * 365
- X6 retained earnings / total assets
- X7 EBIT / total assets
- X8 book value of equity / total liabilities
- X9 sales / total assets
- X10 equity / total assets
- X11 (gross profit + extraordinary items + financial expenses) / total assets
- X12 gross profit / short-term liabilities
- X13 (gross profit + depreciation) / sales
- X14 (gross profit + interest) / total assets
- X15 (total liabilities * 365) / (gross profit + depreciation)
- X16 (gross profit + depreciation) / total liabilities
- X17 total assets / total liabilities
- X18 gross profit / total assets
- X19 gross profit / sales
- X20 (inventory * 365) / sales
- X21 sales (n) / sales (n-1)
- X22 profit on operating activities / total assets
- X23 net profit / sales
- X24 gross profit (in 3 years) / total assets
- X25 (equity - share capital) / total assets
- X26 (net profit + depreciation) / total liabilities
- X27 profit on operating activities / financial expenses
- X28 working capital / fixed assets
- X29 logarithm of total assets
- X30 (total liabilities - cash) / sales
- X31 (gross profit + interest) / sales
- X32 (current liabilities * 365) / cost of products sold
- X33 operating expenses / short-term liabilities
- X34 operating expenses / total liabilities
- X35 profit on sales / total assets
- X36 total sales / total assets
- X37 (current assets - inventories) / long-term liabilities
- X38 constant capital / total assets
- X39 profit on sales / sales
- X40 (current assets - inventory - receivables) / short-term liabilities
- X41 total liabilities / ((profit on operating activities + depreciation) * (12/365))
- X42 profit on operating activities / sales
- X43 rotation receivables + inventory turnover in days
- X44 (receivables * 365) / sales
- X45 net profit / inventory
- X46 (current assets - inventory) / short-term liabilities
- X47 (inventory * 365) / cost of products sold
- X48 EBITDA (profit on operating activities - depreciation) / total assets
- X49 EBITDA (profit on operating activities - depreciation) / sales
- X50 current assets / total liabilities
- X51 short-term liabilities / total assets
- X52 (short-term liabilities * 365) / cost of products sold)
- X53 equity / fixed assets
- X54 constant capital / fixed assets
- X55 working capital
- X56 (sales - cost of products sold) / sales
- X57 (current assets - inventory - short-term liabilities) / (sales - gross profit - depreciation)
- X58 total costs /total sales
- X59 long-term liabilities / equity
- X60 sales / inventory
- X61 sales / receivables
- X62 (short-term liabilities *365) / sales
- X63 sales / short-term liabilities
- X64 sales / fixed assets