This paper uses logistic regression to assign risk of catastrophic loss (defined as a loss of 80% or more of market cap value) to companies, and analyzes the subsequent returns of high risk and low risk portfolios. In the final model, the low risk portfolio had a three-year mean return of approximately 47%, with a catastrophic loss rate of 1.1%. The high-risk portfolio had a three-year mean return of approximately .5%, with a catastrophic loss rate of 29%. The paper expands upon a model developed by Dr. Abhay Gaur and Dr. Leo Rebholz in Rebholz’s 2002 thesis, Bankruptcy as Cusp Catastrophe. This paper first validates the model, introduces a new variable, which examines financial momentum, and transforms the bankruptcy variable to catastrophic loss. The success of the model was viewed through a comparative approach of high and low risk portfolios.
","abstract_html":"<p>This paper uses logistic regression to assign risk of catastrophic loss (defined as a loss of 80% or more of market cap value) to companies, and analyzes the subsequent returns of high risk and low risk portfolios. In the final model, the low risk portfolio had a three-year mean return of approximately 47%, with a catastrophic loss rate of 1.1%. The high-risk portfolio had a three-year mean return of approximately .5%, with a catastrophic loss rate of 29%. The paper expands upon a model developed by Dr. Abhay Gaur and Dr. Leo Rebholz in Rebholz’s 2002 thesis, Bankruptcy as Cusp Catastrophe. This paper first validates the model, introduces a new variable, which examines financial momentum, and transforms the bankruptcy variable to catastrophic loss. The success of the model was viewed through a comparative approach of high and low risk portfolios.</p>","abstract_has_math":false,"creators":["McKibben, Michael"],"institution":null,"degree_name":"MS","degree_level":"Worldwide Access","degree_discipline":"Computational Mathematics","degree_department":null,"school":null,"contributors":["Abhay Gaur","John Kern","Frank D'Amico","Sean Tierney"],"advisors":[],"committee_chairs":[],"committee_members":[],"year":2017,"date_issued":"2017-01-01T08:00:00Z","date_published":"2017-01-01T08:00:00Z","updated_at":"2026-07-24T02:09:13Z","subjects":["Bankruptcy","catastrophic","cusp","logistic","Portfolio","regression"],"languages":["English"],"rights":[],"rights_urls":[],"identifier_entries":[]},"links":{"outbound_url":"https://dsc.duq.edu/etd/140","outbound_label":"Repository record","outbound_source":"dc:identifier"},"metadata_groups":[{"id":"people","label":"People","entries":[{"key":"dc:contributor","label":"Contributor","values":["Abhay Gaur","John Kern","Frank D'Amico","Sean Tierney"]},{"key":"dc:creator","label":"Author","values":["McKibben, Michael"]}]},{"id":"academic_context","label":"Academic Context","entries":[{"key":"dc:date.available","label":"Dc Date Available","values":["2017-05-12T07:00:00Z"]},{"key":"thesis:degree_discipline","label":"Discipline","values":["Computational Mathematics"]},{"key":"thesis:degree_level","label":"Degree Level","values":["Worldwide Access"]},{"key":"thesis:degree_name","label":"Degree Name","values":["MS"]}]},{"id":"subjects_keywords","label":"Subjects and Keywords","entries":[{"key":"dc:subject","label":"Dc Subject","values":["Bankruptcy","catastrophic","cusp","logistic","Portfolio","regression"]}]},{"id":"language_rights","label":"Language and Rights","entries":[{"key":"dc:language","label":"Dc Language","values":["English"]}]},{"id":"identifiers","label":"Identifiers","entries":[{"key":"dc:identifier","label":"Identifier","values":["https://dsc.duq.edu/etd/140"]}]},{"id":"additional","label":"Additional Metadata","entries":[{"key":"dc:description.abstract","label":"Abstract","values":["This paper uses logistic regression to assign risk of catastrophic loss (defined as a loss of 80% or more of market cap value) to companies, and analyzes the subsequent returns of high risk and low risk portfolios. In the final model, the low risk portfolio had a three-year mean return of approximately 47%, with a catastrophic loss rate of 1.1%. The high-risk portfolio had a three-year mean return of approximately .5%, with a catastrophic loss rate of 29%. The paper expands upon a model developed by Dr. Abhay Gaur and Dr. Leo Rebholz in Rebholz’s 2002 thesis, Bankruptcy as Cusp Catastrophe. This paper first validates the model, introduces a new variable, which examines financial momentum, and transforms the bankruptcy variable to catastrophic loss. The success of the model was viewed through a comparative approach of high and low risk portfolios.
"]},{"key":"dc:title","label":"Title","values":["Predicting Bankruptcy and Catastrophic Loss: A Portfolio Approach"]}]}],"canonical_facts":{"dc:contributor":["Abhay Gaur","John Kern","Frank D'Amico","Sean Tierney"],"dc:creator":["McKibben, Michael"],"dc:date.available":["2017-05-12T07:00:00Z"],"dc:description.abstract":["This paper uses logistic regression to assign risk of catastrophic loss (defined as a loss of 80% or more of market cap value) to companies, and analyzes the subsequent returns of high risk and low risk portfolios. In the final model, the low risk portfolio had a three-year mean return of approximately 47%, with a catastrophic loss rate of 1.1%. The high-risk portfolio had a three-year mean return of approximately .5%, with a catastrophic loss rate of 29%. The paper expands upon a model developed by Dr. Abhay Gaur and Dr. Leo Rebholz in Rebholz’s 2002 thesis, Bankruptcy as Cusp Catastrophe. This paper first validates the model, introduces a new variable, which examines financial momentum, and transforms the bankruptcy variable to catastrophic loss. The success of the model was viewed through a comparative approach of high and low risk portfolios.
"],"dc:identifier":["https://dsc.duq.edu/etd/140"],"dc:language":["English"],"dc:subject":["Bankruptcy","catastrophic","cusp","logistic","Portfolio","regression"],"dc:title":["Predicting Bankruptcy and Catastrophic Loss: A Portfolio Approach"],"thesis:degree_discipline":["Computational Mathematics"],"thesis:degree_level":["Worldwide Access"],"thesis:degree_name":["MS"]},"updated_at":"2026-07-24T02:09:13Z"}