Presenting a New Bankruptcy Prediction Model Based on Adjusted Financial Ratios According to the General Price Index
- سال انتشار: 1400
- محل انتشار: فصلنامه پیشرفتهایی در ریاضیات مالی و کاربردها، دوره: 6، شماره: 4
- کد COI اختصاصی: JR_AMFA-6-4_003
- زبان مقاله: انگلیسی
- تعداد مشاهده: 328
نویسندگان
Department of Accounting, Babol Branch, Islamic Azad University, Babol, Iran
Department of Accounting, Babol Branch, Islamic Azad University, Babol, Iran
Department of Accounting, Faculty of Economics and Management,University of Qom, Qom, Iran
چکیده
In a volatile economic environment, financial decision making is always associated with risk. Bankruptcy, as one of the most important risks, has a significant impact on the interests of the firm's stakeholders, so presenting appropriate bankruptcy forecasting patterns is of the utmost importance. In this study, after reviewing the theoretical literature and selecting the financial ratios used in previous bankruptcy prediction models as the variable input of the initial model, the financial ratios were adjusted based on the price index and then, using the LARS algorithm, the ratios that have the highest ability to differentiate between bankrupt and non-bankrupt firms were identified, and finally, using the SVM and Naive Bayesian algorithms, the final bankruptcy prediction model was developed. For this purpose, the data of ۵۰ companies listed in Tehran Stock Exchange who had experienced bankruptcy for at least one year from ۲۰۰۸ to ۲۰۱۸ under Article ۱۴۱ of the Commercial Code were used. The results show that the adjusted financial ratios based on the price index in the model presented by SVM algorithm can be a very good predictor for bankruptcy of companies with an accuracy of ۹۹.۴%.کلیدواژه ها
bankruptcy, General Price Index, financial ratio, LARS Algorithmاطلاعات بیشتر در مورد COI
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کد COI به مفهوم کد ملی اسناد نمایه شده در سیویلیکا است و کدی یکتا و ثابت است و به همین دلیل همواره قابلیت استناد و پیگیری دارد.