違約預測模型中變數選擇方法之應用

Variable Selection Methods for Default Prediction Model

傅萱(Hsuan Fu)

指導教授 ： 管中閔

國立臺灣大學/管理學院/財務金融學研究所/碩士(2012年)

https://doi.org/10.6342/NTU.2012.01782

摘要

無資料

關鍵字

維度精簡 ； 破產預測 ； 最佳子集篩選 ； 脊迴歸 ； 逐步回歸 ； 逐段回歸 ； 最小絕對壓縮挑選機制 ； 最小角度迴歸 ； 主成分迴歸 ； 偏最小平方法 ； 考克斯比例風險模型

並列摘要

For discovering the useful variables in predicting the occurrence of firm’s default event, we examine 8 variable selection methods, including best subset selection, stepwise regression, stagewise regression, ridge regression (RR), the lasso, least angle regressions (LAR), principle component regression (PCR), and partial least squares regression (PLS). According to our simulation results, the stagewise regression, the lasso, and LAR, among all the variable selection methods, have stable in-sample fitting ability and robust performance in terms of root mean square error (RMSE). As a representative of the other 5 methods, PCR has similar result as the best 3 methods in our empirical analysis. Nevertheless, this thesis recommends the best 3 methods since the computation is less time-consuming and the results are more intuitive to interpret. Moreover, we find the combination of selected variables is time-dependent. Therefore, the incorporation of the frailty factor is inevitable to construct the default prediction model in the future studies.

並列關鍵字

dimension reduction ； bankruptcy prediction ； best subset selection ； ridge regression ； stepwise regression ； stagewise regression ； lasso ； least angle regressions ； principle component regression ； partial least squares ； Cox proportional hazard model.

參考文獻

1. Altman, E.I. (1968), Financial ratios, discriminant analysis and the prediction of corporate

Frailty, working paper, Standford University.

3. Bharath, S.T., and T. Shumway (2008), Forecasting Default with the Merton Distance to

4. Chava, S., and R.A. Jarrow (2004), Bankruptcy Prediction with Industry Effects, Review

of Finance, Vol. 8, No. 4, 537 – 569.