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Credit estimation and bankruptcy prediction methods have been utilizingAltman's $z$ score method for the last several years. It is reported in manystudies that $z$ score is sensitive to changes in accounting figures.Researches have proposed different variations to conventional $z$ score thatcan improve the prediction accuracy. In this paper we develop a newmultivariate non-linear model for computing the $z$ score. In addition wedevelop a new credit risk index by fitting a Pearson type-III distribution tothe transformed financial ratios. The results from our study have shown thatthe new $z$ score can predict the bankruptcy with an accuracy of $98.6\%$ ascompared to $93.5\%$ by the Altman's $z$ score. Also, the discriminate analysisrevealed that the new transformed financial ratios could predict the bankruptcyprobability with an accuracy of $93.0\%$ as compared to $87.4\%$ using theweights of Altman's $z$ score.

A New Methodology for Estimating Internal Credit Risk and Bankruptcy Prediction under Basel II Regime