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    政大機構典藏 > 商學院 > 統計學系 > 學位論文 >  Item 140.119/33902
    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/33902


    Title: 企業財務危機之預測
    Authors: 徐美珍
    Contributors: 翁久幸
    徐美珍
    Keywords: 財務危機
    財務比率
    區別分析
    SVM
    BSVR
    Date: 2003
    Issue Date: 2009-09-17 18:46:07 (UTC+8)
    Abstract: 由於目前的經濟體制是自負風險的,若是一個企業發生財務上的危機,將會影響到企業本身、員工、往來的廠商、股東、債權人、甚至是整個社會,因此若是可以事先偵測到財務可能發生的危機,對每個層面都是有益的。每一種模型的提供都是為了能避免遭受損失,甚至能提早發現可能出現的失敗。因此本論文主要是利用財務比率的資訊,去衡量企業的財務危機,而期望能達到一個預警的目的。

    本論文以區別分析法、SVM(Support Vector Machine)、BSVR(Bayesian Support Vector Regression)做為研究的模型。以財務危機發生前一年的財務比率做為選取的變數,利用不同的選取方法,我們選取出4組變數。以發生財務危機前一年的20筆正常公司與20筆財務危機公司為訓練樣本,10筆正常公司與10筆危機公司為測試樣本。

    得到的結論為: 分別比較4組變數在區別分析模型下的表現,可以看出4組變數在變異數相等的模型下,至少有3組變數的預測正確率是理想的。在SVM模型中,可以看到4組變數在經過尺度化和給定參數 =1, =1/40後,有3組的正確率都可以達到95%以上。在BSVR模型中,可以看到變數的選擇對模型的預測能力是很重要的。
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    Description: 碩士
    國立政治大學
    統計研究所
    91354019
    92
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0091354019
    Data Type: thesis
    Appears in Collections:[統計學系] 學位論文

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