• Title/Summary/Keyword: Financial Index

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Optimization of Multiclass Support Vector Machine using Genetic Algorithm: Application to the Prediction of Corporate Credit Rating (유전자 알고리즘을 이용한 다분류 SVM의 최적화: 기업신용등급 예측에의 응용)

  • Ahn, Hyunchul
    • Information Systems Review
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    • v.16 no.3
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    • pp.161-177
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    • 2014
  • Corporate credit rating assessment consists of complicated processes in which various factors describing a company are taken into consideration. Such assessment is known to be very expensive since domain experts should be employed to assess the ratings. As a result, the data-driven corporate credit rating prediction using statistical and artificial intelligence (AI) techniques has received considerable attention from researchers and practitioners. In particular, statistical methods such as multiple discriminant analysis (MDA) and multinomial logistic regression analysis (MLOGIT), and AI methods including case-based reasoning (CBR), artificial neural network (ANN), and multiclass support vector machine (MSVM) have been applied to corporate credit rating.2) Among them, MSVM has recently become popular because of its robustness and high prediction accuracy. In this study, we propose a novel optimized MSVM model, and appy it to corporate credit rating prediction in order to enhance the accuracy. Our model, named 'GAMSVM (Genetic Algorithm-optimized Multiclass Support Vector Machine),' is designed to simultaneously optimize the kernel parameters and the feature subset selection. Prior studies like Lorena and de Carvalho (2008), and Chatterjee (2013) show that proper kernel parameters may improve the performance of MSVMs. Also, the results from the studies such as Shieh and Yang (2008) and Chatterjee (2013) imply that appropriate feature selection may lead to higher prediction accuracy. Based on these prior studies, we propose to apply GAMSVM to corporate credit rating prediction. As a tool for optimizing the kernel parameters and the feature subset selection, we suggest genetic algorithm (GA). GA is known as an efficient and effective search method that attempts to simulate the biological evolution phenomenon. By applying genetic operations such as selection, crossover, and mutation, it is designed to gradually improve the search results. Especially, mutation operator prevents GA from falling into the local optima, thus we can find the globally optimal or near-optimal solution using it. GA has popularly been applied to search optimal parameters or feature subset selections of AI techniques including MSVM. With these reasons, we also adopt GA as an optimization tool. To empirically validate the usefulness of GAMSVM, we applied it to a real-world case of credit rating in Korea. Our application is in bond rating, which is the most frequently studied area of credit rating for specific debt issues or other financial obligations. The experimental dataset was collected from a large credit rating company in South Korea. It contained 39 financial ratios of 1,295 companies in the manufacturing industry, and their credit ratings. Using various statistical methods including the one-way ANOVA and the stepwise MDA, we selected 14 financial ratios as the candidate independent variables. The dependent variable, i.e. credit rating, was labeled as four classes: 1(A1); 2(A2); 3(A3); 4(B and C). 80 percent of total data for each class was used for training, and remaining 20 percent was used for validation. And, to overcome small sample size, we applied five-fold cross validation to our dataset. In order to examine the competitiveness of the proposed model, we also experimented several comparative models including MDA, MLOGIT, CBR, ANN and MSVM. In case of MSVM, we adopted One-Against-One (OAO) and DAGSVM (Directed Acyclic Graph SVM) approaches because they are known to be the most accurate approaches among various MSVM approaches. GAMSVM was implemented using LIBSVM-an open-source software, and Evolver 5.5-a commercial software enables GA. Other comparative models were experimented using various statistical and AI packages such as SPSS for Windows, Neuroshell, and Microsoft Excel VBA (Visual Basic for Applications). Experimental results showed that the proposed model-GAMSVM-outperformed all the competitive models. In addition, the model was found to use less independent variables, but to show higher accuracy. In our experiments, five variables such as X7 (total debt), X9 (sales per employee), X13 (years after founded), X15 (accumulated earning to total asset), and X39 (the index related to the cash flows from operating activity) were found to be the most important factors in predicting the corporate credit ratings. However, the values of the finally selected kernel parameters were found to be almost same among the data subsets. To examine whether the predictive performance of GAMSVM was significantly greater than those of other models, we used the McNemar test. As a result, we found that GAMSVM was better than MDA, MLOGIT, CBR, and ANN at the 1% significance level, and better than OAO and DAGSVM at the 5% significance level.

Simulation and Feasibility Analysis of Aging Urban Park Refurbishment Project through the Application of Japan's Park-PFI System (일본 공모설치관리제도(Park-PFI)의 적용을 통한 노후 도시공원 정비사업 시뮬레이션 및 타당성 분석)

  • Kim, Yong-Gook;Kim, Young-Hyeon;Kim, Min-Seo
    • Journal of the Korean Institute of Landscape Architecture
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    • v.51 no.5
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    • pp.13-29
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    • 2023
  • Urban parks are social infrastructure supporting citizens' health, quality of life, and community formation. As the proportion of urban parks that have been established for more than 20 years is increasing, the need for refurbishment to improve the physical space environment and enhance the functions of aging urban parks is increasing. Since the government's refurbishment of aging urban parks has limitations in securing financial resources and promoting attractiveness, they must be promoted through public-private partnerships. Japan, which suffered from the problem of aging urban parks, has successfully promoted several park refurbishment projects by introducing the Park-PFI through the revision of the 「Urban Park Act」 in 2017. This study examines and analyzes the characteristics of the Japan Park-PFI as an alternative to improving the quality of aging domestic urban park services through public-private partnerships and the validity of the aging urban park refurbishment projects through Park-PFI. The main findings are as follows. First, it is necessary to start discussions on introducing Japan's Park-PFI according to the domestic conditions as a means of public-private partnership to improve the service quality and diversify the functions of aging urban parks. In order to introduce Park-PFI social discussions and follow-up studies on the deterioration of urban parks. Must be conducted. The installation of private capital and profit facilities and improvements of related regulations, such as the 「Parks and Green Spaces Act」 and the 「Public Property Act」, is required. Second, it is judged that the Park-PFI project is a policy alternative that can enhance the benefits to citizens, local governments, and private operators under the premise that the need to refurbish aging urban parks is high and the location is suitable for promoting the project. As a result of a pilot application of the Park-PFI project to Seyeong Park, an aging urban park located in Bupyeong-gu, Incheon, it was analyzed to be profitable in terms of the profitability index (PI), net present value (FNPV), and internal rate of return (FIRR). It is considered possible to participate in the business sector. At the local government level, private capital is used to improve the physical space environment of aging urban parks, as well as the refurbishment of the urban parks by utilizing financial resources generated by returning a portion of the facility usage fees and profits (0.5% of annual sales) of private operators. It was found that management budgets could be secured.

Forecasting Power of Range Volatility According to Different Estimating Period (한국주식시장에서 범위변동성의 기간별 예측력에 관한 연구)

  • Park, Jong-Hae
    • Management & Information Systems Review
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    • v.30 no.2
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    • pp.237-255
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    • 2011
  • This empirical study is focused on practical application of Range-Based Volatility which is estimated by opening, high, low, closing price of overall asset. Especially proper forecasting period is what I want to know. There is four useful Range-Based Volatility(RV) such as Parkinson(1980; PK), Garman and Klass(1980; GK) Rogers and Satchell(1991; RS), Yang and Zhang(2008; YZ). So, four RV of KOPSI 200 index during 2000.5.22-2009.9.18 was used for empirical test. The emprirical result as follows. First, the best RV which shows the best forecasting performance is PK volatility among PK, GK, RS, YZ volatility. According to estimating period forcasting performance of RV shows delicate difference. PK has better performance in the period with financial crisis of sub-prime mortgage loan. if not, RS is better. Second, almost result shows better performance on forecasting volatility without sub-prime mortgage loan period. so we can say that forecasting performance is lower when historical volatiltiy is comparatively high. Finally, I find that longer estimating period in AR(1) and MA(1) model can reduce forecasting error. More interesting point is that the result shows rapid decrease form 60 days to 90 days and there is no more after 90 days. So, if we forecast the volatility using Range-Based volaility it is better to estimate with 90 trading period or over 90 days.

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A Study on The Factors Affecting the Managerial Performance of Hospitals (병원경영의 수익성 결정요인에 관한 연구)

  • Chung Bhum-Suk
    • Management & Information Systems Review
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    • v.17
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    • pp.107-133
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    • 2005
  • The purpose of this study was to analyze a trend of profitability classified by characteristics of hospitals and to analyze related factors. The data for this study were derived from survey material conducted by the Korean Hospital Association on 33 hospitals in Korea between 1993 and 2002. Profitability was measured in the aspect of investment profit rate and operation profit rate with net profit to total assets, normal profit to total assets and operating margin to gross revenue as dependent variables. Independent variables were classified by general factors (ownership, number of beds, period of establishment, region), financial factors (total asset turnover, liabilities to total assets, current ratio, fixed ratio, inventories turnover, personnel costs per operation profit, material costs per operation profits), composition of manpower and facilities(personnel and area per beds), productivity index(the number of daily patients per medical doctor, the number of daily patients per nurse), the score of quality assurance activities. First, Concerning the specialists per beds or area per beds and profitability of hospitals there was not statistically significant. Second, Those hospitals having the most daily patients per nurse had significantly higher profitability than the others, but the number of daily patients per medical doctor had little effect on the profitability. Thirds, Those hospitals having a higher proportion total asset turnover tended to show significantly higher profitability compared to other hospitals, but the liabilities to total assets and liquidity ratio had a little difference to the profitability. Those hospitals having a higher proportion personnel costs per operation profit and material costs per operation profits tended to show significantly lower hospital profitability compared to other hospitals. Fourth, In regression analysis, hospital profitability had negative relationship with personnel costs per operation profit or material costs per operation profits. While it had positive relationship with total asset turnover, the number of daily patients per nurse. In conclusion, private hospitals had higher profitability than that of public hospitals. Though factors related to profitability of hospital were different according to ownership, it is important for securing appropriate profitability by operating appropriate number of nurse, raising total asset turnover, and reducing personnel costs, material costs per operation profits. This study can be used as a baseline data for planning of hospital management. But the study may be limited in that the results cannot be generalized due to its small sample size. However, this longitudinal observation of 33 hospitals over ten year period has significant merit alone.

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The Comparative Study on the Efficiency of Five Largest Seaports in Korea (한국 5대 항만의 효율성에 대한 비교연구)

  • Na, Ho-Su;Lee, U;Lee, Gyeong-Su
    • Journal of Korea Port Economic Association
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    • v.24 no.4
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    • pp.25-46
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    • 2008
  • By using data envelopment analysis(DEA) this research measures the efficiency of Korea's five seaports and their Malmquist productivity from 1997 to 2006. Under the assumption of CRS(constant returns to scale) and VRS(various returns to scale), seaports' rankings of efficiency are measured. Busan port is confirmed as a best-performed port in the various measurements. Important finding facts are as follows. 1)Busan, lncheon and Ulsan seaports are efficient ports under the assumption of CRS and VRS. 2)Gwangyang port shows 4.3% lower efficiency level compared with efficient ports. 3)Pohang port shows 27.3% lower efficiency level compared with efficient ports. 4)Average total factor productivity of Korea's five ports has been lower at the rate of 3.1% during the period from 1997 to 2006. Main policy implications are 1)Busan port is more efficient than Gwangyang port, which reflects the difference of economic activities between two regional econmies. 2)During the period 1997-2006, Korea's five largest ports has experienced lower efficiency levels in the first half period because of the 1997 Korean Financial Crisis, but higher efficiency levels in the second half period because of economic recovery. In future research the more and better data will be expected to improve the understanding of Korean seaports' efficiency characteristics.

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Research on Characteristics Classification of Regional Operation System of the Shared Research Instrument: Exploratory Case Study of Gyeonggi Region, Korea (지역 연구 공용장비 운영체계 개선을 위한 특성 분류 연구: 경기도 지역에 대한 탐색적 사례연구를 중심으로)

  • Hong, Jae-Keun;Chung, Sun-Yang
    • Journal of Korea Technology Innovation Society
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    • v.14 no.4
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    • pp.833-859
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    • 2011
  • This study aims to draw the characteristics of the regional operation system of the shared research instrument service, which contributes to the R&D investment efficiency by the avoidance of duplicated research instrument investment and the enhancement of the network collaboration. So from the perspective of technology infrastructure policy and regional innovation system, Gyeonggi region of Korean metropolitan area has been analyzed for the case study. The case study has been conducted by 2 step process of within-case analysis and cross-case analysis. Firstly, the characteristics of operation system of the shared research instrument have been examined through various research methods. Secondly, in the cross-case analysis, the examined issues and problems have been organized by the matrix of 3 organizational governance characteristics and 4 issues to facilitate the regional policy approach. The issues deducted by the cross-case analysis have been deducted as (1) 'usage fee charge system', 'relevant method for the performance index and measurement of the instrument service management' for the regional policy led case, (2) 'performance management issue', 'financial and managerial accounting system for the instrument operating division', and 'change of budget support scheme' for the joint operation case and lastly (3) 'usage facilitation after the expiration of research lab support project' for the university led case.

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A Study on the Efficiency of the Export Support Policy for the SME in Korea (한국 중소기업수출지원정책의 효율화 방안)

  • Choi, Jae-Han
    • The Journal of the Korea Contents Association
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    • v.18 no.3
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    • pp.114-123
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    • 2018
  • Korea's Export Support Policy has shifted from conglomerate to SMEs since the 1998 IMF financial crisis. Therefore the SME export result in 2011 has reached the quantitative growth of more than US$ 100 billion for the first time. However, the trend has remained stagnant since 2013. Such a stagnant is judged to exist on the part of the Export Support Policies that fail to significantly enhance export competitiveness. Therefore, in order to expand the base of the export capabilities of SMEs and enhance the export competitiveness, the researcher has analyzed the problems of the Export Support Policy focused from the major prior studies since 2010 and derived the efficiency improvement methods. The results of this study are as follows: First, it is necessary to select or combine the following measures. they are the coordination or combination of the functions of the export support institutions, the operation of the single export support institutions, the utilization of the cooperative support system between the support institutions, the use of the private enterprises. First, it is necessary to review the following measures: they are the functional adjustment and integration among export support agencies, the adjustment of support organizations by export stage, the role coordinating between the Small and Medium Business Administration and the Local Government. Secondly, it is necessary to build a customized support system for enterprises. Thirdly, in order to secure the manpower and expertise of the support organization, it is necessary to review the utilization of the retired manpower the from the trade companies or the youth intern system. Fourthly, it is suggested that the balanced performance index is required for the export support programs with a certain scale and need to increase the portion the external evaluation together with the quantitative and qualitative evaluation.

Partial Budget Modeling of Economic Losses of Aujeszky's Disease (부분예산분석을 이용한 오제스키병 발생 농가의 경제적 손실 추정)

  • Pak, Son-Il;Park, Choi-Kyu;Moon, Oun-Kyong;Yoon, Hachung;Lee, Byeong-Yong;Lee, Sang-Jin
    • Korean Journal of Veterinary Research
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    • v.49 no.4
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    • pp.329-334
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    • 2009
  • Aujeszky's disease (AD) is a respiratory, infectious viral illness associated with high mortality, especially in neonatal piglets and has frequently been considered an economically important disease in many endemic countries. Although AD is still occurring in a geographically defined region in Korea, little attention has been paid to the economics of AD. In this study, partial budget technique was used to develop a simulation model to measure financial losses following the disease epidemic in a swine operation utilizing stochastic or deterministic parameters from the literatures and the index case herd of AD occurred in 2005, where available and applicable. For the infected case herd with a 12500-pig, the total economic loss for this operation was estimated to be about 199 million Korean won (95% confidence interval [CI] 148,645,000-250,741,000). Given net loss due to death of a pig at sow level was 119,000 won, total loss for the case herd with 1200 sows accounted for 143 million won (95% CI 92,599,000-193,729,000). The net loss of the death of one pig at growing and fattening level resulted in loss of 46,000 won (95% CI 40,000-53,000) and 126,000 won (95% CI 122,000-131,000), respectively. Taking into account for the number of pigs raised in the case herd, total loss amounted to 8 million won (95% CI 7,167,000-9,347,000) and 12 million won (95% CI 11,959,000-12,891,000), for growers and fatteners, respectively, assuming 63% of saved feed intake when a pig dies halfway through the respective period. Under the model's assumptions, suckling pig mortality was the major factors of loss in estimating the economic consequences (approximately 71.8% of the total loss). The high economic losses of a herd infected with AD suggest that the effective and region-specific control measures should be implemented in disease endemic foci.

A Study on User Perception for the Efficient Utilization of Camp Page - Focus on Chuncheon Citizen and Tourist - (캠프페이지의 효율적인 활용을 위한 이용자인식 연구 - 춘천시민과 관광객을 중심으로 -)

  • Jun, Mi-Ri;Kang, Eun-Ji;Kim, Yong-Geun
    • Journal of the Korean Institute of Landscape Architecture
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    • v.45 no.3
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    • pp.9-20
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    • 2017
  • Camp Page, which has been located in front of Chuncheon Station for about 50 years since 1958, recently opened to the public. Chuncheon City is currently struggling to construct a park on this site due to an uncertainty of general plans and financial difficulties. Accordingly, this research conducted a cognitive survey about site usage with Camp Page users in order to clarify directions for efficient establishment of parks within the former military base. The course of research includes analytical methods such as a survey targeting Chuncheon citizens and tourists both in the field and online, a frequency analysis of 1,360 index samples, a cross analysis and t-test. As a result, firstly, Chuncheon citizens recognized the image of Chuncheon as a city with a fresh, clean lakeshore whereas tourists think of it as a city for sightseeing and leisure. Hence, it was justifiable to conclude that the city should organize various programs for people to enjoy leisure activities while at the same time protecting the environment. Second, the awareness of tourists about Camp Page was relatively low and both citizens and tourists recognize that it was not sufficient enough for enjoyment of free time. The majority answered "space for culture and art and for experiencing the natural environment" when asked about the direction of space creation at Camp Page, which indicates that the site will need to be available both for cultural art and nature experiences. Lastly, it was thought that the direction of developing leisure facilities in Chuncheon city should include the improvement of worn out installations and developing chain products among programs. This research will be able to use fundamental data for the efficient utilization of the returned U.S. military camps that are constantly merging.

A Policy Implication of Urban Logistics in the Incheon Metropolitan City (인천광역시 도시물류기본계획 수립을 위한 정책방향)

  • Chung, Tae-Won;Lee, Choong-Hyo
    • Journal of Korea Port Economic Association
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    • v.27 no.3
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    • pp.147-159
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    • 2011
  • The purpose of the study is to propose a policy implication of urban logistics in the Incheon metropolitan city. To attain the aim, it reviews new characteristics that Logistics Policy Fundamental Law(LPFL) published by government 2009 suggests and studies the previous papers like Logistic Fundamental Plan(LFP) of other metropolitan cities. After that it proposes a policy implication through benchmarking of urban logistics plan at Tokyo city not only located at a capital area at Japan but also including port and airport. The results are as follows. Firstly, field survey studies of the "LFP" every five years will need to keep pace with "Urban Fundamental Plan"(UFP) having designed to all cities legally every ten years. Secondly, Incheon will be required to create value-added logistics, making best use of third-party logistic companies to small-medium sized businesses along with the age of green. Thirdly, LFP needs to be performed through a mutual cooperation and adjustment among Incheon, Gyeonggi-do and Seoul and in this regions eco-friendly companies performing related logistic activities have to be followed executive and financial supports. Lastly, it will be obliged to develop a evaluation management index to understand the advancement level through a feedback system.