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Implementation of the Probability of Bankruptcy by Campbell, Hilscher and Szilagyi (also described in the book "Quantitative Value")

Hello everyone,

I implemented the algorithm described in the paper "In Search of Distress Risk" by John Campbell, Jens Hilscher, and Jan Szilagyi .
Link to the paper: http://scholar.harvard.edu/campbell/publications/search-distress-risk

As outlined in the book "Quantitative Value" and in their blog post
http://blog.alphaarchitect.com/2011/07/23/stop-using-altman-z-score/
this algorithm is much better than the previous ones in predicting bankruptcy.

Maybe I did something wrong, because my implementation gives Apple a probability of bankruptcy equals to 100%
Would you help me to verify and improve my implementation?

The Research Notebook is here:
https://www.quantopian.com/research/notebooks/CHS%20Model.ipynb

Comments and feedbacks are very welcome!
Costantino

3 responses

I hope that the Research Notebook Link above works, otherwise can somebody explain me how to share a research notebook in the forum.
I see only a button "Attach Backtest" but no "Attach Notebook".

Thanks,
Costantino

Hi Costantino,
You can share a notebook by clicking the "Share" button associated to each cell within your notebook.

Here's a quick image to help: https://www.evernote.com/l/ACiGMbgbVGVN3LhD3d8xibWSN_sqtIWLJng

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