• Title/Summary/Keyword: Logit model

검색결과 707건 처리시간 0.139초

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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    • 제24권4호
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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.

Revisit Intention of Visitors to Cultural Festival using Logit Model (로짓모형을 이용한 축제참가자의 재방문 의사 분석)

  • Heo, Chung-Uk
    • Korean Business Review
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    • 제22권1호
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    • pp.139-156
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    • 2009
  • This article investigates the relationships between motivation and revisit intention of visitors to Gangneung Danoje Festival as cultural festival with social demand. Out of 550 questionnaires distributed, a total of 514 usable questionnaires were collected. The hypothesized causal model was tested by logit model, which included satisfaction model to each program as well as overall satisfaction model to cultural festival. Model 1 is constructed with satisfaction and revisit intention to each program, and Model 2 with overall satisfaction and revisit intention to cultural festival. In this models causal variables were inputted including satisfaction to festival programs, frequency of visitation, days of stay, time required to destination. In Model 1 positive sign were shown by causal variables as satisfaction to each program, frequency of visitation, days of stay but negative signs was shown by time required to festival place. In Model 2 sign directions of causal variables were same in Model 1. In comparison, Model 2 is more significant than Model 1 on the basis of statistical theory as significance level and coefficient of determination. Consequently, cultural festival managers should test the satisfaction level of visitors to each program of cultural festival and make efforts to establish advanced program in order to attract more visitors.

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Economic Values of Recreational Water: Rafting on the Hantan River (수자원의 휴양가치분석 : 한탄강 래프팅을 사례로)

  • Kwon, Oh Sang;Lim, YoungAh;Kim, Won Hee
    • Environmental and Resource Economics Review
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    • 제16권3호
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    • pp.427-449
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    • 2007
  • This study estimates the recreation benefits of rafting on the Hantan River. A choice experiment is conducted and the economic values of controlling water stream and water quality are estimated. Both the conditional logit and the multinomial pro bit models are estimated. This study rejects the IIA assumption of the conditional log it model and supports using a more flexible model such as the multinomial probit model.

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An Analysis on the Needs for the Mobile Internet Service (휴대인터넷 서비스에 대한 니즈[Needs]분석)

  • Joo, Young-Jin;Lee, Kwang-Hee
    • Journal of Digital Convergence
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    • 제1권1호
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    • pp.235-253
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    • 2003
  • In this research, we have developed a model that can explain the potential customer's needs for the potable Internet service, a concept with 'QoS guaranteed lower-price high speed mobile Internet service. Based on the developed model, we have also derived some empirical implications for the business firms interest in the potable Internet market. The developed model is incorporating a survey result, answering of potential customer's attitude for the portable Internet service, from the subscribers to the Internet service, wireless LAN service, and mobile Internet service. As a result, we have found that a very innovative group, such as wireless LAN users and 20's age group using mobile Internet service, could be the most attractive market segment. Moreover, the aspects of the service coverage and the price competitiveness at the service launching stage could be the most critical success factors for the portable Internet service.

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Restructuring Primary Health Care Network to Maximize Utilization and Reduce Patient Out-of-pocket Expenses

  • Bardhan, Amit Kumar;Kumar, Kaushal
    • Asian Journal of Innovation and Policy
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    • 제8권1호
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    • pp.122-140
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    • 2019
  • Providing free primary care to everyone is an important goal pursued by many countries under universal health care programs. Countries like India need to efficiently utilize their limited capacities towards this purpose. Unfortunately, due to a variety of reasons, patients incur substantial travel and out-of-pocket expenses for getting primary care from publicly-funded facilities. We propose a set-covering optimization model to assist health policy-makers in managing existing capacity in a better way. Decision-making should consider upgrading centers with better potential to reduce patient expenses and reallocating capacities from less preferred facilities. A multinomial logit choice model is used to predict the preferences. In this article, a brief background and literature survey along with the mixed integer linear programming (MILP) optimization model are presented. The working of the model is illustrated with the help of numerical experiments.

Factors Affecting Patients' Compliance with Antihypertensive Medication in a Rural Area (고혈압환자의 치료순응도에 영향을 미치는 요인)

  • 배상수;이인숙;김순미;우선옥;이영조;김병익;한달성;이석구
    • Health Policy and Management
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    • 제4권1호
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    • pp.25-48
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    • 1994
  • Noncompliance with treatment is a serious problem in the management of hypertension. We explored self-reported medication taking compliance behavior of 194 high blood pressure patients using modified health belief model hypothesizing interaction between model components. Data were collected from patients resistered hwachon community hypertension control program during February, 1993. Bivariate analysis showed perceived severity of complication, present symptom experience(p<0.05), perceived severity of hypertension and education leve(p<0.01) were significantly related to treatment experience. Logit analysis revealed that perceived severity of hypertension, perceived benefits of treatment, perceived barriers to treatment and interaction term between perceived severity of hypertension and perceived benefits of treatment contributed treatment experience. Health education from mass media was siglificantly related to continuity of treatment. We also concluded that the inclusion of interaction effects between health belief model components and the use of patient group as analysis unit lead to better study results.

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Development and Application of the Mode Choice Models According to Zone Sizes (분석대상 규모에 따른 수단분담모형의 추정과 적용에 관한 연구)

  • Kim, Ju-Yeong;Lee, Seung-Jae;Kim, Do-Gyeong;Jeon, Jang-U
    • Journal of Korean Society of Transportation
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    • 제29권6호
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    • pp.97-106
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    • 2011
  • Mode choice model is an essential element for estimating- the demand of new means of transportation in the planning stage as well as in the establishment phase. In general, current demand analysis model developed for the mode choice analysis applies common parameters of utility function in each region which causes inaccuracy in forecasting mode choice behavior. Several critical problems from using common parameters are: a common parameter set can not reflect different distribution of coefficient for travel time and travel cost by different population. Consequently, the resulting model fails to accurately explain policy variables such as travel time and travel cost. In particular, the nonlinear logit model applied to aggregation data is vulnerable to the aggregation error. The purpose of this paper is to consider the regional characteristics by adopting the parameters fitted to each area, so as to reduce prediction errors and enhance accuracy of the resulting mode choice model. In order to estimate parameter of each area, this study used Household Travel Survey Data of Metropolitan Transportation Authority. For the verification of the model, the value of time by marginal rate of substitution is evaluated and statistical test for resulting coefficients is also carried out. In order to crosscheck the applicability and reliability of the model, changes in mode choice are analyzed when Seoul subway line 9 is newly opened and the results are compared with those from the existing model developed without considering the regional characteristics.

Analysis for Impact Perceived Neighborhood Environmental Factors on Resident's Satisfaction of Bicycle Use (인지된 근린환경요인이 지역주민들의 자전거이용만족도에 미치는 영향 -상주시를 대상으로)

  • Won, Dong-Hyuk;Lee, Kyung-Hwan
    • Journal of the Korea Academia-Industrial cooperation Society
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    • 제13권10호
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    • pp.4877-4883
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    • 2012
  • As a basic research for revitalization of cycling that is emerging as a means of green transportation, this study aims to analyze the impact of neighbourhood environmental factor perceived by the local residents on cycling satisfaction as the concern for energy and environmental issues is increasing. For this, a survey was conducted through a questionnaire to the residents in Sangju-si and the impact of the perceived neighbourhood environmental factor to cycling satisfaction with ordered logit model was analyzed. The result showed that the factors such as quality of bicycle lane, quality of bicycle conveniences, accessibility of major conveniences, safety of cycling and amenity of street made a significant impact on cycling satisfaction. Based on such result, this study suggested the considerations to be made in designing a cycling environment.

An Analysis on the Factors Affecting Consumers' Perception and Satisfaction in the Sixth Industry (소비자의 6차산업 인지도와 만족도에 미치는 요인분석)

  • Joo, Hyunjeong
    • The Journal of the Korea Contents Association
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    • 제20권11호
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    • pp.119-130
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    • 2020
  • The proportion of non-farm income among farm household income is over 40%, with the main source coming from the sixth industry. While it is important to understand consumers' preferences to revitalize the sixth industry, the majority of research is focused on producers. Therefore, this study used an Ordered Logit Model to analyze consumer awareness and satisfaction with the 6th industry. As a result, first, the analysis showed that awareness of the sixth industry was generally low, and that the perceptions of gender and regions were different. Second, there were various ways to learn about the sixth industry through media reports, portal searches, and SNS. Third, factors affecting the recognition of the sixth industry were shown to have statistically significant effects on demographic and sociological variables such as age, marriage type, occupation, residential area, and income. This study is the first to analyze the awareness and satisfaction of the sixth industry from the consumer's point of view focusing on its revitalization.

A Study of Mode Choice Analysis of Blind Spot Areas for Public Transportation in Four Metropolitan Cities (대도시권 대중교통 사각지대 통행자들의 수단선택 모형 개발 - 급행버스 노선 도입에 따른 선호의식 조사를 중심으로 -)

  • Kim, Hwang Bae
    • KSCE Journal of Civil and Environmental Engineering Research
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    • 제32권6D호
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    • pp.565-569
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    • 2012
  • This study selected blind spot areas for public transportation in four metropolitan cities including Busan, Daegue, Gwangju, and Daejeon. Then this study developed a nested logit model and analyzed the changes of mode choice behaviors after adopting rapid transit system using stated preference(SP) survey. As the study results, blind spot areas have more potential public transportation demand and tendency to shift to public transportation from autos than built-up areas. This study results can be utilized to evaluate demand changes for new rapid transit system in a circular expressway and an arterial highway connecting CBD and surrounding areas. The study results also can be utilized to analyze the potential public transportation demand in the surrounding areas.