Validação de Modelos Brasileiros de Previsão de Insolvência

Abstract

    The first studies about insolvency prevision were created after the 1930 crisis. However, the issue grew in importance with the use of statistics methods in the 60's, offering more reliability and importance to the models proposed. Considering that the models for predicting firm failure represent efforts to reduce the uncertainty about the company's continuity, the objective of this Paper is contrasting the validity of the most widespread models created in Brazil. The sample consists of 25 firms listed at the São Paulo Stock Market that do not belong to financial and insurance sectors and that were declared insolvent at the period of 1995-2006 and 49 firms considered solvents. The data was paired by year, sector and size of Total Assets in the proportion of two Solvents to each Insolvent. The results show low levels of rating of the firms for most of the models. Sanvicente e Minardi (1998)'s model was the only that presented satisfactory results at the rating of the firms. The study suggests the necessity to revise the oldest models, because of their instability over time.