Journal of the Korean Operations Research and Management Science Society (한국경영과학회지)

The Korean Operations Research and Management Science Society (한국경영과학회)
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Bankruptcy Prediction Model with AR process

AR 프로세스를 이용한 도산예측모형

  • Published : 2001.03.01
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Abstract

The detection of corporate failures is a subject that has been particularly amenable to cross-sectional financial ratio analysis. In most of firms, however, the financial data are available over past years. Because of this, a model utilizing these longitudinal data could provide useful information on the prediction of bankruptcy. To correctly reflect the longitudinal and firm-specific data, the generalized linear model with assuming the first order AR(autoregressive) process is proposed. The method is motivated by the clinical research that several characteristics are measured repeatedly from individual over the time. The model is compared with several other predictive models to evaluate the performance. By using the financial data from manufacturing corporations in the Korea Stock Exchange (KSE) list, we will discuss some experiences learned from the procedure of sampling scheme, variable transformation, imputation, variable selection, and model evaluation. Finally, implications of the model with repeated measurement and future direction of research will be discussed.

Keywords

References

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