Altman Z score sas code
Posted: 08 October 2012 04:59 PM   [ Ignore ]
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Original z-score component definitions variable definition weighting factor

T1 = Working Capital / Total Assets
T2 = Retained Earnings / Total Assets
T3 = Earnings Before Interest and Taxes / Total Assets
T4 = Market Value of Equity / Total Liabilities
T5 = Sales/ Total Assets
Z score bankruptcy model:

Z = 1.2T1 + 1.4T2 + 3.3T3 + 0.6T4 + .999T5
Zones of Discrimination:

Z > 2.99 -“Safe” Zones
1.81 < Z < 2.99 -“Grey” Zones
Z < 1.81 -“Distress” Zones

Reference:
http://en.wikipedia.org/wiki/Altman_Z-score

SAS code with compusta, funda (yearly) data items for the Altman Z score:

AltmanZ = (1.2*(act-lct)/at + 1.4*re/at + 3.3*(NI+XINT+TXT)/at+0.6*csho*prcc_f/lt + 0.999*sale/at);

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