政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/33902
English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  Items with full text/Total items : 113451/144438 (79%)
Visitors : 51320424      Online Users : 847
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
Scope Tips:
  • please add "double quotation mark" for query phrases to get precise results
  • please goto advance search for comprehansive author search
    •  Adv. Search
    Home ‧ Login ‧ Upload ‧ Help ‧ About ‧ Administer Goto mobile version


    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/33902


    Title: 企業財務危機之預測
    Authors: 徐美珍
    Contributors: 翁久幸
    徐美珍
    Keywords: 財務危機
    財務比率
    區別分析
    SVM
    BSVR
    Date: 2003
    Issue Date: 2009-09-17 18:46:07 (UTC+8)
    Abstract: 由於目前的經濟體制是自負風險的，若是一個企業發生財務上的危機，將會影響到企業本身、員工、往來的廠商、股東、債權人、甚至是整個社會，因此若是可以事先偵測到財務可能發生的危機，對每個層面都是有益的。每一種模型的提供都是為了能避免遭受損失，甚至能提早發現可能出現的失敗。因此本論文主要是利用財務比率的資訊，去衡量企業的財務危機，而期望能達到一個預警的目的。

    本論文以區別分析法、SVM(Support Vector Machine)、BSVR(Bayesian Support Vector Regression)做為研究的模型。以財務危機發生前一年的財務比率做為選取的變數，利用不同的選取方法，我們選取出4組變數。以發生財務危機前一年的20筆正常公司與20筆財務危機公司為訓練樣本，10筆正常公司與10筆危機公司為測試樣本。

    得到的結論為: 分別比較4組變數在區別分析模型下的表現，可以看出4組變數在變異數相等的模型下，至少有3組變數的預測正確率是理想的。在SVM模型中，可以看到4組變數在經過尺度化和給定參數 =1， =1/40後，有3組的正確率都可以達到95%以上。在BSVR模型中，可以看到變數的選擇對模型的預測能力是很重要的。
    Reference: 林妙宜(2002)，公司信用風險之衡量，政治大學金融研究所碩士論文。
    洪修遠(1994)，商業銀行財務績效之研究—EDA與因素分析法之比較，成功大學企管研究所碩士論文。
    詹錦宏、賴富(1998)，信用評等統計模型之研究—以臺灣銀行業為例，臺灣銀行季刊，第49卷第四期，97-118。
    Altman, E. (1968),”Financial Ratio, Discriminant Analysis and the Predict of Corporate Bankruptcy,” Journal of Finance, September, 589-609.
    Altman, E. and Loris, B., (1976),”A Financial Early Warning System for Over-the-Counter Broker Dealers.” Journal of Finance, September, 1201-1217.
    Argenti, J.(1976),Corporate Collapse-The Causes and Symptoms, London : McGraw- Hill.
    Beaver, W. H. (1966), ”Financial Ratio as Prediction of Failure ,”Empirical Research in Accounting, supplement, 71-111.
    Beaver, W. H. (1968),”Market Prices,Financial Ratios and Prediction of Failure,”Journal of Accounting Research,Autumn.
    Blum, M. (1974),”Failing Company Discriminant Analysis,” Journal of Accounting Research, Spring, 1-25.
    Booth, P.J. (1983) ,”Decomposition Measures and the Prediction of Financial Failure,” Journal of Business Finance and Accounting, 67-82.
    Borch,K.,(1967),”The Theory of Risk,”Journal of the Rotal Statistical Society,Series B.
    Chang, C.-C. and Lin, C.-J. (2001).LIBSVM : a library for support vector machines.
    Chu,W ., Keerthi,S.S. and Ong,C.J. (2003),” Bayesian support vector regression using a unified loss function,”IEEE Transactions on Neural Networks 15(1) 29-44.
    Cortes,C. and Vapnik,V.(1995), ”Support-Vector network,”Machine Learning 20,273-297.
    Deakin,E.B.(1972),”A Discriminant Analysis of Predictors of Business Failure,”Journal of Accounting Research,Spring,167-179.
    Gao, J. B., Gunn, S.R., Harris, C.J.,and Brown, M.(2002),”A Probabilistic framework for SVM regression and error bar estimation,” Machine Learning, March,46:71-89.
    Laitinen, E. (1991),”Financial Ratios And Different Failure Process,” Journal of Business Finance & Accounting, September, 649-673.
    Lau, A.H., (1987), ”A Five-State Financial Distress Prediction Model,”The Journal of Accounting Research, Vol.25, 127-138.
    Lev,B.(1969),Accounting and Information Theory,Studies in Accounting Research NO.2,American Accounting Association,(1969).
    Ohlson, J. A. (1980),”Financial Ratios and the Probabilistic Prediction of Bankruptcy,” Journal of Accounting Research, Spring,109-131.
    Pinches,G.E.,Mingo,K.A. and Caruthers,J.K.(1973),”The Stability of Financial Patterns in Industrial Organizations,”Journal of Finance,389-396.
    Santomero,A. and Vinso,J.(1977),”Estimating the Probability of Failure for Firms in the Banking System,”Journal of Banking and Finance,September.
    Scott , J. (1981), ”The Probability of Bankruptcy—A Comparison of Empirical Prediction and Theoretical Methods,” Journal of Banking and Finance, 317-344.
    Theil,W.(1969),”On the Use of Information Theory Concepts in the Analysis of Financial Statements,”Management Science,459-480.
    Tinsley,P.,(1970),”Capital Structure,Precautionary Balances,and Valuation of the Firm:The Problem of Financial Risk,” Journal of Financial and Quantitative Analysis.
    Wilcox, J.(1971) ,”A Gambler’s ruin prediction of business failure using accounting data,”Sloan Management Review,Spring.
    Wilcox, J.(1973) ,”A Prediction of Business Failure Using Accounting data,” Empirical Research in Accounting:Selected Studies, Supplement to Journal of Accounting Research 11.
    Wilcox, J.(1976) ,”The gambler’s ruin approach to business risk,” Sloan Management Review,Fall.
    Zavgren , C.V.(1985),”Assessing the Vulnerability to Failure of American Industrial Firms: A Logistic Analysis,” Journal of Business Finance & Accounting, Spring,19-45.
    Description: 碩士
    國立政治大學
    統計研究所
    91354019
    92
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0091354019
    Data Type: thesis
    Appears in Collections:[Department of Statistics] Theses

    Files in This Item:

    File Description SizeFormat
    35401901.pdf40KbAdobe PDF2775View/Open
    35401902.pdf39KbAdobe PDF2864View/Open
    35401903.pdf42KbAdobe PDF2883View/Open
    35401904.pdf42KbAdobe PDF2834View/Open
    35401905.pdf43KbAdobe PDF2813View/Open
    35401906.pdf62KbAdobe PDF21118View/Open
    35401907.pdf263KbAdobe PDF21060View/Open
    35401908.pdf3828KbAdobe PDF21421View/Open
    35401909.pdf143KbAdobe PDF2914View/Open
    35401910.pdf48KbAdobe PDF21304View/Open
    35401911.pdf81KbAdobe PDF22319View/Open


    All items in 政大典藏 are protected by copyright, with all rights reserved.


    社群 sharing

    著作權政策宣告 Copyright Announcement
    1.本網站之數位內容為國立政治大學所收錄之機構典藏，無償提供學術研究與公眾教育等公益性使用，惟仍請適度，合理使用本網站之內容，以尊重著作權人之權益。商業上之利用，則請先取得著作權人之授權。
    The digital content of this website is part of National Chengchi University Institutional Repository. It provides free access to academic research and public education for non-commercial use. Please utilize it in a proper and reasonable manner and respect the rights of copyright owners. For commercial use, please obtain authorization from the copyright owner in advance.

    2.本網站之製作，已盡力防止侵害著作權人之權益，如仍發現本網站之數位內容有侵害著作權人權益情事者，請權利人通知本網站維護人員(nccur@nccu.edu.tw)，維護人員將立即採取移除該數位著作等補救措施。
    NCCU Institutional Repository is made to protect the interests of copyright owners. If you believe that any material on the website infringes copyright, please contact our staff(nccur@nccu.edu.tw). We will remove the work from the repository and investigate your claim.
    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - Feedback