Prediction of corporate bankruptcy (or distress) is one of the major activities in auditing firms’ risks and uncertainties. The design of reliable models to predict distress is crucial for many decision-making processes. Although a variety of models have been designed to predict distress, the relative performance evaluation of competing prediction models remains an exercise that is unidimensional in nature. To be more specific, although some studies use several performance criteria and their measures to assess the relative performance of distress prediction models, the assessment exercise of competing prediction models is restricted to their ranking by a single measure of a single criterion at a time, which leads to reporting conflicting results. The first essay of this research overcomes this methodological issue by proposing an orientation-free super-efficiency Data Envelopment Analysis (DEA) model as a multi-criteria assessment framework. Furthermore, the study performs an exhaustive comparative analysis of the most popular bankruptcy modelling frameworks for UK data. Also, it addresses two important research questions; namely, do some modelling frameworks perform better than others by design? and to what extent the choice and/or the design of explanatory variables and their nature affect the performance of modelling frameworks? Further, using different static and dynamic statistical frameworks, this chapter proposes new Failure Prediction Models (FPMs). However, within a super-efficiency DEA framework, the reference benchmark changes from one prediction model evaluation to another one, which in some contexts might be viewed as “unfair” benchmarking. The second essay overcomes this issue by proposing a Slacks-Based Measure Context-Dependent DEA (SBM-CDEA) framework to evaluate the competing Distress Prediction Models (DPMs). Moreover, it performs an exhaustive comparative analysis of the most popular corporate distress prediction frameworks under both a single criterion and multiple criteria using data of UK firms listed on London Stock Exchange (LSE). Further, this chapter proposes new DPMs using different static and dynamic statistical frameworks. Another shortcoming of the existing studies on performance evaluation lies in the use of static frameworks to compare the performance of DPMs. The third essay overcomes this methodological issue by suggesting a dynamic multi-criteria performance assessment framework, namely, Malmquist SBM-DEA, which by design, can monitor the performance of competing prediction models over time. Further, this study proposes new static and dynamic distress prediction models. Also, the study addresses several research questions as follows; what is the effect of information on the performance of DPMs? How the out-of-sample performance of dynamic DPMs compares to the out-of-sample performance of static ones? What is the effect of the length of training sample on the performance of static and dynamic models? Which models perform better in forecasting distress during the years with Higher Distress Rate (HDR)? On feature selection, studies have used different types of information including accounting, market, macroeconomic variables and the management efficiency scores as predictors. The recently applied techniques to take into account the management efficiency of firms are two-stage models. The two-stage DPMs incorporate multiple inputs and outputs to estimate the efficiency measure of a corporation relative to the most efficient ones, in the first stage, and use the efficiency score as a predictor in the second stage. The survey of the literature reveals that most of the existing studies failed to have a comprehensive comparison between two-stage DPMs. Moreover, the choice of inputs and outputs for DEA models that estimate the efficiency measures of a company has been restricted to accounting variables and features of the company. The fourth essay adds to the current literature of two-stage DPMs in several respects. First, the study proposes to consider the decomposition of Slack-Based Measure (SBM) of efficiency into Pure Technical Efficiency (PTE), Scale Efficiency (SE), and Mix Efficiency (ME), to analyse how each of these measures individually contributes to developing distress prediction models. Second, in addition to the conventional approach of using accounting variables as inputs and outputs of DEA models to estimate the measure of management efficiency, this study uses market information variables to calculate the measure of the market efficiency of companies. Third, this research provides a comprehensive analysis of two-stage DPMs through applying different DEA models at the first stage – e.g., input-oriented vs. output oriented, radial vs. non-radial, static vs. dynamic, to compute the measures of management efficiency and market efficiency of companies; and also using dynamic and static classifier frameworks at the second stage to design new distress prediction models.