強化灰色理論應用於營建公司財務風險預測之研究

The Impact of Variables Quantity on the Accuracy of Grey System Theory in Bankruptcy Prediction

阮孟濰(Nguyen Manh Duy)

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(2013年)

https://doi.org/10.6342/NTU.2013.02426

摘要

無資料

關鍵字

Logistic回歸 ； 灰色系統理論 ； 合成學位發病率 ； 財務比率 ； ROC曲線 ； 建築行業

並列摘要

Bankruptcy Prediction has been a popular topic in business area. Once the firm goes bankrupt, it will bring the great loss to not only firm itself but also other stakeholders. The widely applied methods to predict the risk of business failure were based on financial ratio analysis; in which, applying Grey System Theory in the previous thesis for predicting default probability of construction firms, has brought some feasibility results, by relying on the 19 initial financial ratios. With the purpose of improving the Grey System Theory application, in this thesis, the authors would like to reduce the number of financial ratio before applying Grey System Theory, and then the results will be compared with previous thesis.
First, the Logistic Regression model, an accounting – based Model was applied to filter out the most important variables, before applying Grey Theory. Then, Synthetic Degree Incidences ρ of considered firms are calculated and combine these ρ values, the default probability of firms will be identified. Then, the other effected factors like as X zero (X0), theta θ and the key variables were considered. After that, using ROC curves to point out which one is the most favorable consequence data for model (correspond to the highest AUC value). Lastly, some comparisons as well as recommendations are suggested.

並列關鍵字

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

參考文獻

1. Kagari, R., Farid, F., & Elgharib, H. (1992). Financial performance analysis for construction industry. Journal of Construction Engineering and Management, 118, (2), 349 – 361.

2. Kangari, R. (1988). Business failure in construction industry. Journal of construction Engineering and management , 172-190.

3. Russell, J. & Zhai, H.(1996). Predicting contractor failure using stochastic dynamics of economic and financial variables. Journal of Construction Engineering and Management, 122, (2), 183 – 191.

4. 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.

5. Altman, E.I. (1968). Financial ratios, discriminant analysis and the prediction of corporate bankruptcy. The journal of finance, 23, (4), 589-609.