1.3 Methodology of forecasting of probability of bankruptcy of the enterprise.

The most effective methods of an estimation of probability of bankruptcy are the Z-models offered by known American economist E.Altman. And other methods it is not used for today. Therefore as probability of a mistake very much greater and basic formulas are very complex.

Idle time from these models is two-factorial. It is based on two key parameters from which, in E.Altman's opinion, the probability of bankruptcy depends. If the result (Z) appears negative, the probability of bankruptcy is insignificant. Positive value Z specifies high probability of bankruptcy.

In the American practice such weight values of factors are used:

- For a parameter of current liquidity (Кcl) or coverings₍_К_p) - (-1,0736);

- For a parameter of relative density of extra means in passives of balance (Кp) - (+0,0579);

- A constant - (-0,3877).

From here the formula of calculation of Z signs a following kind:

Where:

Coefficient of current liquidity

Current assets

Current liabilities

К^cl (1)

Liabilities

Currency of balance

К_3
=(2)

For the enterprises at which Z = 0, the probability of bankruptcy is equal 50 %. If Z <0 the probability of bankruptcy is less than 50 % and further decreases in process of reduction Z. If Z> 0 the probability of bankruptcy is more than 50 % also increases with growth Z.

The mistake of the forecast by means of two-factorial model is estimated by an interval ΔZ = ± 0,65.

For forecasting probability of bankruptcy of the enterprises in the developed countries with market economy E.Altman's multifactorial models which pay off on the basis of balance of the enterprise and the report on results of financial and economic activity, and also market cost usual and preference shares are widely used (see figure 1). In 1968 it had been offered five-factorial model of forecasting. By development of this model of E.Altman surveyed 66 enterprises of the industry, half from which has gone bankrupt during between 1946 and 1965. Research of a financial condition of the gone bankrupt American firms in comparison to parameters of the prospering enterprises of the same branches and similar scales has allowed it to reveal five establishing a parameter from which substantially the probability of bankruptcy depends, and to define their weight factors.

The statistical approach enables to define borders of critical area: Z <1,81 - area of high probability of bankruptcy, Z> 3,0 - area of low probability of bankruptcy.

Accuracy of the forecast for one year makes 95 %, on two - up to 83 % that is greater advantage of the given model. Lack consists that apply it only concerning the large companies quoting the actions at stock exchanges.

British scientists Tufler and Tshow have offered in 1977 four-factorial forecasting model. In same to year E.Altman has developed the seven-factorial model, allowing to track probability of bankruptcy within 5 years to within 70 %.