摘要
在激烈的市场竞争中,现代企业非常关注风险管理,注重防范与控制风险,而风险管理的关键是预测与控制财务风险。生存分析模型能动态地预测风险事件发生的概率,本文精比例优势模型应用干我国上市公司财务困境预测,根据边际似然与ALASSO变量选择程序,确定了影响财务风险的主要因素,获得模型参数估计,考察了比例优势模型财务困境预测判断能力,比较了Cox模型和比例优势模型这两种生存模型的财务风险预测效果。结果表明,比例优势模型能展现企业财务困境的发展过程,具有较好的财务困境预测能力。
In the fierce market competition, modern enterprises pay much attention to risk management and lay emphasis on keeping a lookout and controlling for risk. However, the key of risk management is to forecast and control the financial risk. Tile survival analysis model can dynamically forecast tile probability of hazard events. This paper uses proportional odds model to forecast the financial distress of the listed company in our country. According to marginal likelihood approach and ALASSO variable selection procedure, the main factors influencing the financial risk is determined and the estimation of model parameters also is obtained. The judgment power of forecasting financial distress is investigated for the proportional odds model. The paper compares the prediction of the Cox model with that of the proportional odds model. The results indicate that the proportional odds model can show the process of financial distress development and has good ability to dynamically predict financial distress of enterprise.
出处
《数理统计与管理》
CSSCI
北大核心
2016年第3期536-549,共14页
Journal of Applied Statistics and Management
基金
教育部人文社科项目(11YJA91009)
湖南省软科学项目(2014ZK3067)
湖南省重点学科项目
