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Welcome to BankruptcyProbability.com

This site provides estimates of the probability of bankruptcy for a broad sample of US public firms. As discussed in the Data Library section, the estimates are available on both a calendar quarter and fiscal quarter basis for almost all firms on the NYSE, AMEX, and NASDAQ stock exchanges between 1965 and 2005.

The estimates are based on the Black-Scholes-Merton option pricing model. The basic idea behind the bankruptcy probability estimates is to extract public information about the probability of bankruptcy that is contained in stock market prices. The procedure to extract this information was developed in an article by Hillegeist, Keating, Cram, and Lundstedt that was published in the Review of Accounting Studies in 2004. This paper describes in detail the reasoning behind using stock prices, as opposed to accounting data, to extract the probability estimates as well as the methodological steps and assumptions behind the estimates.

In addition to the estimates using the methodology in the RAST article, this site also provides several alternative measures of the probability of bankruptcy based on differing sets of input assumptions. Depending on how you wish to use the estimates, you may wish to use one of these alternatives.

There is no charge to download and use these bankruptcy probability estimates. However, we require that you cite the Hillegeist et al (2004) RAST paper mentioned above in any written or published material that makes use of the estimates.


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