Financial Crisis Prediction Based upon Survival Analysis

摘要：

This paper first utilizes Principle Component method to refine a large variety of relevant financial ratios into nine principle components, which effectively reduces the workload of sample selection and the blindness of selection, and moreover, enables each financial ratio to find its manifestation in the prediction, and meanwhile, eliminates the multicollinearity of the regression model; next, it resorts to cox hazard proportional model to predict the survival function of each company, with a view to eliciting whether it will sink into financial distress in future.

关键词： survival analysis principle components financial crisis

作者: CHEN Lei

作者单位: School of Economics and Management, Beijing University of Posts and Telecoms, Beijing, P.R.China,100876

会议类型: 国际会议

会议名称: The 3rd International Institute of Statistics & Management Engineering Symposium(2010 国际统计与管理工程研讨会 IISMES)

会议地点: 威海

会议语种:英文

页码: 449-452

在线出版日期: 2010-07-24（万方平台首次上网日期，不代表论文的发表时间）