İFLAS ETME OLASILIKLARINI BULANIK MANTIK VE MERTON MODEL KULLANARAK TAHMİN ETME: ABD ŞİRKETLERİ ÜZERİNE BİR UYGULAMA

Bu çalışmada bulanık -iflas endeksi altında yeni bir endeks oluşturduk. Endeksin amacı ait olduğu sektörden bağımsız herhangi bir X şirketinin varsayılan iflas etme olasılığını bulmaktır. Bulanık -iflas mantık endeksi finansal oran kesişim değişikliğini zamandan ve sektörden bağımsız olarak yorumlar. Yeni endeks finansal rasyoların farklı karar verme durumunu ortadan kaldırmak için de oluşturduk. Oluşturulan yeni değişkenin dört tanesi kümeleme ve faktör analizi sonuçlarından elde edilmiş olup, diğer değişken ise Merton modelinden elde edilmiştir. İflas etmiş şirketlerin geçmiş tarihteki olayları analiz edilirken; dolandırıcılık ve yönetim hataları gibi farklı birçok neden ile karşılaşılır. Buna örnek olarak Enron ve K-Mart gibi prestijli firmalar gösterilir. Bu tür durumlardan dolayı bu çalışmada herhangi bir şirketin finansal durumunun dahi iyi anlaşılabileceği bir model tasarlanmayı hedeflemektedir. Bu model kredi yatırım şirketlerinin yanlış şirkete yatırım yapmalarını ve muhtemelen tüm yatırımlarını kaybetmelerini önleyebilir

ESTIMATION OF BANKRUPTCY PROBABILITIES BY USING FUZZY LOGIC AND MERTON MODEL: AN APPLICATION ON USA COMPANIES

In this study, we have work ed on developing a brand -new index called Fuzzy-bankruptcy index. The aim of this index is to find out the default probability of any company X, independent from the sector it belongs. Fuzzy logic is used to state the financial ratiointerruption change related with time and inside different sectors, the new index is created to eliminate the number of the relativity of financial ratios. The four input variables inside the five main input variables used for the fuzzy process, are chosen from both factor analysis and clustering and the last input variable calculated from Merton Model. As we analyze in the past cases of the default history of companies, one could explore different reasons such as managerial arrogance, fraud and managerial mistak es, that are responsible for the very poor endings of prestigious companies lik e Enron, K -Mart. Because of these k ind of situations, we try to design a model which one could be able to get a better view of a company’s financial position, and it couldbe prevent credit loan companies from investing in the wrong company and possibly from losing all investments using our Fuzzy-bank ruptcy index

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