• Title/Summary/Keyword: 부도확률

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Undecided inference using bivariate probit models (이변량 프로빗모형을 이용한 미결정자 추론)

  • Hong, Chong-Sun;Jung, Mi-Yang
    • Journal of the Korean Data and Information Science Society
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    • v.22 no.6
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    • pp.1017-1028
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    • 2011
  • When it is not easy to decide the credit scoring for some loan applicants, credit evaluation is postponded and reserve to ask a specialist for further evaluation of undecided applicants. This undecided inference is one of problems that happen to most statistical models including the biostatistics and sportal statistics as well as credit evaluation area. In this work, the undecided inference is regarded as a missing data mechanism under the assumption of MNAR, and use the bivariate probit model which is one of sample selection models. Two undecided inference methods are proposed: one is to make use of characteristic variables to represent the state for decided applicants, and the other is that more accurate and additional informations are collected and apply these new variables. With an illustrated example, misclassification error rates for undecided and overall applicants are obtainded and compared according to various characteristic variables, undecided intervals, and thresholds. It is found that misclassification error rates could be reduced when the undecided interval is increased and more accurate information is put to model, since more accurate situation of decided applications are reflected in the bivariate probit model.

Developing Corporate Credit Rating Models Using Business Failure Probability Map and Analytic Hierarchy Process (부도확률맵과 AHP를 이용한 기업 신용등급 산출모형의 개발)

  • Hong, Tae-Ho;Shin, Taek-Soo
    • The Journal of Information Systems
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    • v.16 no.3
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    • pp.1-20
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    • 2007
  • Most researches on the corporate credit rating are generally classified into the area of bankruptcy prediction and bond rating. The studies on bankruptcy prediction have focused on improving the performance in binary classification problem, since the criterion variable is categorical, bankrupt or non-bankrupt. The other studies on bond rating have predicted the credit ratings, which was already evaluated by bond rating experts. The financial institute, however, should perform effective loan evaluation and risk management by employing the corporate credit rating model, which is able to determine the credit of corporations. Therefore, this study presents a corporate credit rating method using business failure probability map(BFPM) and AHP(Analytic Hierarchy Process). The BFPM enables us to rate the credit of corporations according to business failure probability and data distribution or frequency on each credit rating level. Also, we developed AHP model for credit rating using non-financial information. For the purpose of completed credit rating model, we integrated the BFPM and the AHP model using both financial and non-financial information. Finally, the credit ratings of each firm are assigned by our proposed method. This method will be helpful for the loan evaluators of financial institutes to decide more objective and effective credit ratings.

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Classification accuracy measures with minimum error rate for normal mixture (정규혼합분포에서 최소오류의 분류정확도 측도)

  • Hong, C.S.;Lin, Meihua;Hong, S.W.;Kim, G.C.
    • Journal of the Korean Data and Information Science Society
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    • v.22 no.4
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    • pp.619-630
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    • 2011
  • In order to estimate an appropriate threshold and evaluate its performance for the data mixed with two different distributions, nine kinds of well-known classification accuracy measures such as MVD, Youden's index, the closest-to- (0,1) criterion, the amended closest-to- (0,1) criterion, SSS, symmetry point, accuracy area, TA, TR are clustered into five categories on the basis of their characters. In credit evaluation study, it is assumed that the score random variable follows normal mixture distributions of the default and non-default states. For various normal mixtures, optimal cut-off points for classification measures belong to each category are obtained and type I and II error rates corresponding to these cut-off points are calculated. Then we explore the cases when these error rates are minimized. If normal mixtures might be estimated for these kinds of real data, we could make use of results of this study to select the best classification accuracy measure which has the minimum error rate.

Analysis of Dynamic Relationship between Changes in Domestic and Overseas Orders and Insolvency of Construction Companies (국내외 수주동향과 건설업체 부실화 간의 동태성 분석)

  • Jang, Sewoong
    • Korean Journal of Construction Engineering and Management
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    • v.15 no.2
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    • pp.87-94
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    • 2014
  • This study aims to analyze the relationship. The study applies EDF (Expected Default Frequency) as a variable that indicates management status of a construction company. To analyze changes in business structure of construction companies, the study refers to the amounts of domestic and overseas project orders as variables. The data was retrieved from TS2000 established by Korea Listed Companies Association (KLCA), Statistics Korea and International Contractors Association of Korea. The analysis period is between first quarter of 2001 and fourth quarter of 2010. The analysis results showed that as more domestic and overseas orders rolled in for domestic companies, their business conditions improved as the hypothesis suggested. However, the level of improvement varied. Further, when construction companies' business slowed down, the proportion of overseas projects tended to rise, while the ratio of domestic business decreased.

Developing an Accident Model for Rural Signalized Intersections Using a Random Parameter Negative Binomial Method (RPNB모형을 이용한 지방부 신호교차로 교통사고 모형개발)

  • PARK, Min Ho;LEE, Dongmin
    • Journal of Korean Society of Transportation
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    • v.33 no.6
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    • pp.554-563
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    • 2015
  • This study dealt with developing an accident model for rural signalized intersections with random parameter negative binomial method. The limitation of previous count models(especially, Poisson/Negative Binomial model) is not to explain the integrated variations in terms of time and the distinctive characters a specific point/segment has. This drawback of the traditional count models results in the underestimation of the standard error(t-value inflation) of the derived coefficient and finally affects the low-reliability of the whole model. To solve this problem, this study improves the limitation of traditional count models by suggesting the use of random parameter which takes account of heterogeneity of each point/segment. Through the analyses, it was found that the increase of traffic flow and pedestrian facilities on minor streets had positive effects on the increase of traffic accidents. Left turning lanes and median on major streets reduced the number of accidents. The analysis results show that the random parameter modeling is an effective method for investigating the influence on traffic accident from road geometries. However, this study could not analyze the effects of sequential changes of driving conditions including geometries and safety facilities.

The Prediction of Export Credit Guarantee Accident using Machine Learning (기계학습을 이용한 수출신용보증 사고예측)

  • Cho, Jaeyoung;Joo, Jihwan;Han, Ingoo
    • Journal of Intelligence and Information Systems
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    • v.27 no.1
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    • pp.83-102
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    • 2021
  • The government recently announced various policies for developing big-data and artificial intelligence fields to provide a great opportunity to the public with respect to disclosure of high-quality data within public institutions. KSURE(Korea Trade Insurance Corporation) is a major public institution for financial policy in Korea, and thus the company is strongly committed to backing export companies with various systems. Nevertheless, there are still fewer cases of realized business model based on big-data analyses. In this situation, this paper aims to develop a new business model which can be applied to an ex-ante prediction for the likelihood of the insurance accident of credit guarantee. We utilize internal data from KSURE which supports export companies in Korea and apply machine learning models. Then, we conduct performance comparison among the predictive models including Logistic Regression, Random Forest, XGBoost, LightGBM, and DNN(Deep Neural Network). For decades, many researchers have tried to find better models which can help to predict bankruptcy since the ex-ante prediction is crucial for corporate managers, investors, creditors, and other stakeholders. The development of the prediction for financial distress or bankruptcy was originated from Smith(1930), Fitzpatrick(1932), or Merwin(1942). One of the most famous models is the Altman's Z-score model(Altman, 1968) which was based on the multiple discriminant analysis. This model is widely used in both research and practice by this time. The author suggests the score model that utilizes five key financial ratios to predict the probability of bankruptcy in the next two years. Ohlson(1980) introduces logit model to complement some limitations of previous models. Furthermore, Elmer and Borowski(1988) develop and examine a rule-based, automated system which conducts the financial analysis of savings and loans. Since the 1980s, researchers in Korea have started to examine analyses on the prediction of financial distress or bankruptcy. Kim(1987) analyzes financial ratios and develops the prediction model. Also, Han et al.(1995, 1996, 1997, 2003, 2005, 2006) construct the prediction model using various techniques including artificial neural network. Yang(1996) introduces multiple discriminant analysis and logit model. Besides, Kim and Kim(2001) utilize artificial neural network techniques for ex-ante prediction of insolvent enterprises. After that, many scholars have been trying to predict financial distress or bankruptcy more precisely based on diverse models such as Random Forest or SVM. One major distinction of our research from the previous research is that we focus on examining the predicted probability of default for each sample case, not only on investigating the classification accuracy of each model for the entire sample. Most predictive models in this paper show that the level of the accuracy of classification is about 70% based on the entire sample. To be specific, LightGBM model shows the highest accuracy of 71.1% and Logit model indicates the lowest accuracy of 69%. However, we confirm that there are open to multiple interpretations. In the context of the business, we have to put more emphasis on efforts to minimize type 2 error which causes more harmful operating losses for the guaranty company. Thus, we also compare the classification accuracy by splitting predicted probability of the default into ten equal intervals. When we examine the classification accuracy for each interval, Logit model has the highest accuracy of 100% for 0~10% of the predicted probability of the default, however, Logit model has a relatively lower accuracy of 61.5% for 90~100% of the predicted probability of the default. On the other hand, Random Forest, XGBoost, LightGBM, and DNN indicate more desirable results since they indicate a higher level of accuracy for both 0~10% and 90~100% of the predicted probability of the default but have a lower level of accuracy around 50% of the predicted probability of the default. When it comes to the distribution of samples for each predicted probability of the default, both LightGBM and XGBoost models have a relatively large number of samples for both 0~10% and 90~100% of the predicted probability of the default. Although Random Forest model has an advantage with regard to the perspective of classification accuracy with small number of cases, LightGBM or XGBoost could become a more desirable model since they classify large number of cases into the two extreme intervals of the predicted probability of the default, even allowing for their relatively low classification accuracy. Considering the importance of type 2 error and total prediction accuracy, XGBoost and DNN show superior performance. Next, Random Forest and LightGBM show good results, but logistic regression shows the worst performance. However, each predictive model has a comparative advantage in terms of various evaluation standards. For instance, Random Forest model shows almost 100% accuracy for samples which are expected to have a high level of the probability of default. Collectively, we can construct more comprehensive ensemble models which contain multiple classification machine learning models and conduct majority voting for maximizing its overall performance.

Analysis of Correlation between Construction Business and Insolvency of Construction Company (건설경기와 건설업체 부실화 간의 관계성 분석)

  • Seo, Jeong-Bum;Lee, Sang-Hyo;Kim, Jae-Jun
    • Korean Journal of Construction Engineering and Management
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    • v.14 no.3
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    • pp.3-11
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    • 2013
  • The changes in construction business have impact on overall operation of construction companies. Poor business of construction companies following a s low industrial cycle could have broader implications and influences on the industry. Since a construction project involves various stakeholders including public organizations, financial institutions and households, a downturn in construction industry might lead to significant economic loss. In this regard, it is meaningful to examine the relationship between changes in construction business cycles and insolvency of construction companies. This study conducts an empirical analysis of the relationship between construction business cycles and how much they affect operation of construction companies. To this end, KMV model was used to estimate probability of bankruptcy, which represents business condition of a construction company. To examine construction business cycles, investment amount for different construction types-residential, non-residential, and construction work-was used as a variable. Based on the investment amount, VECM was applied and the analysis results suggested that construction companies should put priority on diversifying project portfolio. In addition, it was shown that once a construction company becomes unstable in business operation, it is hard to recover even when the market condition turns for the better. This suggests that, to improve business operation of a construction company, internal capacity-building is as important as the market condition and other external circumstances.