Management Science and Financial Engineering

  • 제12권1호
  • /
  • Pages.65-77
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  • 2006
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  • 2287-2043(pISSN)
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  • 2287-2361(eISSN)
한국경영과학회 (The Korean Operations Research and Management Science Society)
권호 표지

Assessment of Effects of Predictors on the Corporate Bankruptcy Using Hierarchical Bayesian Dynamic Model

  • Sung Min-Je (School of Business Administration, Ajou University) ;
  • Cho Sung-Bin (School of Business, Sogang University)
  • 발행 : 2006.05.01
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초록

This study proposes a Bayesian dynamic model in a hierarchical way to assess the time-varying effect of risk factors on the likelihood of corporate bankruptcy. For the longitudinal data, we aim to describe dynamically evolving effects of covariates more articulately compared to the Generalized Estimating Equation approach. In the analysis, it is shown that the proposed model outperforms in terms of sensitivity and specificity. Besides, the usefulness of this study can be found from the flexibility in describing the dependence structure among time specific parameters and suitability for assessing the time effect of risk factors.

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참고문헌

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