• Title/Summary/Keyword: 최적튜닝

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Corporate Default Prediction Model Using Deep Learning Time Series Algorithm, RNN and LSTM (딥러닝 시계열 알고리즘 적용한 기업부도예측모형 유용성 검증)

  • Cha, Sungjae;Kang, Jungseok
    • Journal of Intelligence and Information Systems
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    • v.24 no.4
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    • pp.1-32
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    • 2018
  • In addition to stakeholders including managers, employees, creditors, and investors of bankrupt companies, corporate defaults have a ripple effect on the local and national economy. Before the Asian financial crisis, the Korean government only analyzed SMEs and tried to improve the forecasting power of a default prediction model, rather than developing various corporate default models. As a result, even large corporations called 'chaebol enterprises' become bankrupt. Even after that, the analysis of past corporate defaults has been focused on specific variables, and when the government restructured immediately after the global financial crisis, they only focused on certain main variables such as 'debt ratio'. A multifaceted study of corporate default prediction models is essential to ensure diverse interests, to avoid situations like the 'Lehman Brothers Case' of the global financial crisis, to avoid total collapse in a single moment. The key variables used in corporate defaults vary over time. This is confirmed by Beaver (1967, 1968) and Altman's (1968) analysis that Deakins'(1972) study shows that the major factors affecting corporate failure have changed. In Grice's (2001) study, the importance of predictive variables was also found through Zmijewski's (1984) and Ohlson's (1980) models. However, the studies that have been carried out in the past use static models. Most of them do not consider the changes that occur in the course of time. Therefore, in order to construct consistent prediction models, it is necessary to compensate the time-dependent bias by means of a time series analysis algorithm reflecting dynamic change. Based on the global financial crisis, which has had a significant impact on Korea, this study is conducted using 10 years of annual corporate data from 2000 to 2009. Data are divided into training data, validation data, and test data respectively, and are divided into 7, 2, and 1 years respectively. In order to construct a consistent bankruptcy model in the flow of time change, we first train a time series deep learning algorithm model using the data before the financial crisis (2000~2006). The parameter tuning of the existing model and the deep learning time series algorithm is conducted with validation data including the financial crisis period (2007~2008). As a result, we construct a model that shows similar pattern to the results of the learning data and shows excellent prediction power. After that, each bankruptcy prediction model is restructured by integrating the learning data and validation data again (2000 ~ 2008), applying the optimal parameters as in the previous validation. Finally, each corporate default prediction model is evaluated and compared using test data (2009) based on the trained models over nine years. Then, the usefulness of the corporate default prediction model based on the deep learning time series algorithm is proved. In addition, by adding the Lasso regression analysis to the existing methods (multiple discriminant analysis, logit model) which select the variables, it is proved that the deep learning time series algorithm model based on the three bundles of variables is useful for robust corporate default prediction. The definition of bankruptcy used is the same as that of Lee (2015). Independent variables include financial information such as financial ratios used in previous studies. Multivariate discriminant analysis, logit model, and Lasso regression model are used to select the optimal variable group. The influence of the Multivariate discriminant analysis model proposed by Altman (1968), the Logit model proposed by Ohlson (1980), the non-time series machine learning algorithms, and the deep learning time series algorithms are compared. In the case of corporate data, there are limitations of 'nonlinear variables', 'multi-collinearity' of variables, and 'lack of data'. While the logit model is nonlinear, the Lasso regression model solves the multi-collinearity problem, and the deep learning time series algorithm using the variable data generation method complements the lack of data. Big Data Technology, a leading technology in the future, is moving from simple human analysis, to automated AI analysis, and finally towards future intertwined AI applications. Although the study of the corporate default prediction model using the time series algorithm is still in its early stages, deep learning algorithm is much faster than regression analysis at corporate default prediction modeling. Also, it is more effective on prediction power. Through the Fourth Industrial Revolution, the current government and other overseas governments are working hard to integrate the system in everyday life of their nation and society. Yet the field of deep learning time series research for the financial industry is still insufficient. This is an initial study on deep learning time series algorithm analysis of corporate defaults. Therefore it is hoped that it will be used as a comparative analysis data for non-specialists who start a study combining financial data and deep learning time series algorithm.

Study on data preprocessing methods for considering snow accumulation and snow melt in dam inflow prediction using machine learning & deep learning models (머신러닝&딥러닝 모델을 활용한 댐 일유입량 예측시 융적설을 고려하기 위한 데이터 전처리에 대한 방법 연구)

  • Jo, Youngsik;Jung, Kwansue
    • Journal of Korea Water Resources Association
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    • v.57 no.1
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    • pp.35-44
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    • 2024
  • Research in dam inflow prediction has actively explored the utilization of data-driven machine learning and deep learning (ML&DL) tools across diverse domains. Enhancing not just the inherent model performance but also accounting for model characteristics and preprocessing data are crucial elements for precise dam inflow prediction. Particularly, existing rainfall data, derived from snowfall amounts through heating facilities, introduces distortions in the correlation between snow accumulation and rainfall, especially in dam basins influenced by snow accumulation, such as Soyang Dam. This study focuses on the preprocessing of rainfall data essential for the application of ML&DL models in predicting dam inflow in basins affected by snow accumulation. This is vital to address phenomena like reduced outflow during winter due to low snowfall and increased outflow during spring despite minimal or no rain, both of which are physical occurrences. Three machine learning models (SVM, RF, LGBM) and two deep learning models (LSTM, TCN) were built by combining rainfall and inflow series. With optimal hyperparameter tuning, the appropriate model was selected, resulting in a high level of predictive performance with NSE ranging from 0.842 to 0.894. Moreover, to generate rainfall correction data considering snow accumulation, a simulated snow accumulation algorithm was developed. Applying this correction to machine learning and deep learning models yielded NSE values ranging from 0.841 to 0.896, indicating a similarly high level of predictive performance compared to the pre-snow accumulation application. Notably, during the snow accumulation period, adjusting rainfall during the training phase was observed to lead to a more accurate simulation of observed inflow when predicted. This underscores the importance of thoughtful data preprocessing, taking into account physical factors such as snowfall and snowmelt, in constructing data models.