Research on Financial Distress Prediction Model Based on Kalman Filtering Theory

摘要：

　　Research of enterprises financial distress prediction (FDP) can generate early warning signals before the outbreak of financial crisis, and how to build a relative simplicity and robust FDP model has been of concern for theorists and practitioners at home and abroad.This research introduces Kalman filtering theory into FDP modeling.It builds a process model and a measurement model to describe the dynamic financial system.It uses time update and measurement update algorithm to solve the problem of financial information filtering.And thus, an adaptive model is proposed which is proved effective by an empirical analysis.This research is expected to provide theoretical support to achieve an accurate FDP and promote the application of FDP state-space model for enterprises.

关键词： financial distress prediction Kalman filter state-space model

作者: ZHUANG Qian CHEN Liang-hua

作者单位: School of Economics and Management Southeast University Nanjing,China

会议类型: 国际会议

会议名称: 2013 International Conference on Education Technology and Management Science(ICETMS2013)2013年教育技术与管理科学国际会议

会议地点: 南京

会议语种:英文

页码: 518-520

在线出版日期: 2013-06-08（万方平台首次上网日期，不代表论文的发表时间）