灰色理論系統應用於營建公司財務危機預測之研究

Applying Grey System Theory to predict default probability in construction industry

陳麗娟(Tran, Le - Quyen)

指導教授 ： 曾惠斌

國立臺灣大學/工學院/土木工程學研究所/碩士(2011年)

https://doi.org/10.6342/NTU.2011.02787

摘要

無資料

關鍵字

灰色理論系統 ； 合成程度發生率 ； 財務比率 ； ROC曲線 ； 建築業

並列摘要

The prediction of business failure is an important and challenging issue that has served as the impulsion for many academic studies over the past decades. The widely applied methods to predict the risk of business failure were based on financial ratio analysis; therefore, the purpose of this thesis is to explore the possibility of applying Grey System Theory for predicting default probability of construction firms by analyzing financial history data. In the present research, the author introduces a framework of the bankruptcy probability valuation relying on the 19 initial financial ratios. First, Synthetic Degree Incidences ρ of considered firms are calculated and combine these ρ values, the default probability of firms as well as the importance of financial ratios as predictors will be identified. In this research scope, the author proposes 3 models correspond with difference history consequence data (3 years, 4 years and 5 years). Then, using ROC curves to point out which one is the most favorable consequence data for model (correspond to the highest AUC value). After the suitable consequence data (4 years) was chosen, the other effected factors like as X0, θ and the combo of key variables were considered. Some warnings as well as recommendations are highlighted for those who concern of applying grey analysis model to forecast default probability of construction firms.

並列關鍵字

Grey System Theory ； Synthetic Degree Incidences ； financial ratio ； ROC curve ； construction industry

參考文獻

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5. Delcea, C. & Scarlat, E. The diagnosis of firm‟s “Diseases” using the grey systems theory methods. Springer (106-120).

6. Edum-Fotwe, F., Price, A. & Thorpe, A. A review of financial ratio tools for predicting contractor insolvency. Construction Management and Economics (1996) 14, 189-19.

9. James, M.W Wong & S. Thomas. NG. (2010). Company failure in the construction industry: A critical review and a future research agenda.