The Journal of Society for e-Business Studies (한국전자거래학회지)

Society for e-Business Studies (한국전자거래학회)
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Analysis of Accounts Receivable Aging Using Variable Order Markov Model

가변 마코프 모델을 활용한 매출 채권 연령 분석

  • Kang, Yuncheol (Department of Industrial Engineering, College of Engineering, Hongik University) ;
  • Kang, Minji (Department of Industrial Engineering, College of Engineering, Hongik University) ;
  • Chung, Kwanghun (College of Business Administration, Hongik University)
  • Received : 2019.01.11
  • Accepted : 2019.01.29
  • Published : 2019.02.28
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Abstract

An accurate prediction on near-future cash flows plays an important role for a company to attenuate the shortage risk of cash flow by preparing a plan for future investment in advance. Unfortunately, there exists a high level of uncertainty in the types of transactions that occur in the form of receivables in inter-company transactions, unlike other types of transactions, thereby making the prediction of cash flows difficult. In this study, we analyze the trend of cash flow related to account receivables that may arise between firms, by using a stochastic approach. In particular, we utilize Variable Order Markov (VOM) model to predict how future cash flows will change based on cash flow history. As a result of this study, we show that the average accuracy of the VOM model increases about 12.5% or more compared with that of other existing techniques.

기업 입장에서 앞으로 있을 현금흐름에 대한 예측이란, 향후 발생할 수 있는 유동성(현금부족) 위험을 미리 파악할 수 있다는 점과 미래의 투자계획을 세우는데 중요한 자료가 될 수 있다는 점에서 중요한 의의를 지닌다. 그러나 기업 간 거래에서 매출 채권 형태로 발생하는 거래 유형은 다른 유형의 거래와는 달리 채무 이행 불확실성이 존재하며, 이로 인해 정확한 현금흐름 예측을 어렵게 한다. 본 연구에서는 추계적 분석 기법의 하나인 가변 마코프 기법(Variable Order Markov model)을 활용하여 기업 간에 발생 할 수 있는 매출 채권과 관련한 현금흐름 동향을 예측한다. 구체적으로는, PST(Probabilistic Suffix Tree)라는 가변 마코프 기법을 활용하여, 지난 과거의 매출 채권 발행 및 수금 내역을 바탕으로 해당 매출 채권들의 기대 연령 예측 연구를 수행하였다. 본 연구결과를 통해, 기존의 다른 기법들과 대비하여 가변 마코프 기법을 활용 시, 평균 12.5% 이상의 정확도를 보여주고 있음을 밝혔다.

Keywords

References

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