Application of Neyman-Pearson Theorem and Bayes' Rule to Bankruptcy Prediction

네이만-피어슨 정리와 베이즈 규칙을 이용한 기업도산의 가능성 예측

Financial variables have been used in bankruptcy prediction. Despite of possible errors in prediction, most existing approaches do not consider the causal time sequence of prediction activity and bankruptcy phenomena. This paper proposes a prediction method using Neyman-Pearson Theorem and Bayes' rule. The proposed method uses posterior probability concept and determines a prediction policy with appropriate error rate.