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Нейросетевая Модель Диагностики Стадий Развивающегося Банкротства Корпораций // Neural Network Model Of Diagnostics Of Stages Of Developing Corporate Bankruptcy

Author

Listed:
  • S. Gorbatkov A.

    (Ufa branch of the Financial University)

  • S. Farkhieva A.

    (Ufa branch of the Financial University)

  • С. Горбатков А.

    (Уфимский филиал Финансового университета)

  • С. Фархиева А.

    (Уфимский филиал Финансового университета)

Abstract

The article deals with the problem of developing an information and mathematical model to support decisionmaking on the restructuring of corporate debt in the banking technologies of financial management. The purpose of the article is to create a model that allows diagnostic of the stages of developing corporate crisis in difficult conditions of incomplete and noisy data. The model should serve as a tool for improving the objectivity and quality of decisions on the restructuring of corporate debt. The study was conducted on the basis of neural network modelling and system analysis methods, methods of decision-making theory, a solution of inverse problems of interpretation, i.e. extraction of new knowledge from data. We developed an original method of constructing neural network logistic model of bankruptcies (NNLMB) in the difficult conditions of the simulation. New features of the method, increasing the predictive power of the model, are: 1) optimal selection of factors using Bayesian ensemble of auxiliary neural networks, performing compression of factor space; 2) step compression of factors based on the generalized Harrington desirability function; 3) regularization of the main (working) neural network model on Bayesian ensemble of neural networks. NNLMB is tested on real data from corporations of the construction industry. The number of correctly identified objects on the test set was more than 90% on all neural networks of the ensemble. In NNLMB, a sufficiently high prognostic quality of the neural network model is provided by new features of the method and generates an emergent effect, which was proven in computational experiments: the improvement of the quality of the neural network model by the criterion of correctly identified objects Θ is 3.336 times with the compression of factors by 1.35 times. NNLMB can be applied to a wide range of financial management tasks. В статье исследуется проблема разработки информационно-математической модели для поддержки принятия решений по реструктуризации кредитной задолженности корпораций в банковских технологиях финансового менеджмента.Цель статьи — создание модели, позволяющей диагностировать стадии развивающегося кризиса корпораций в сложных условиях неполноты и зашумленности данных. Модель должна служить инструментом повышения объективности и качества принимаемых решений по реструктуризации кредитной задолженности корпораций. Исследование проводилось на основе нейросетевых методов моделирования и системного анализа, методов теории принятия решений, решения обратных задач интерпретации, т.е. извлечения новых знаний из данных. Разработан оригинальный метод построения нейросетевой логистической модели банкротств (НЛМБ) в сложных условиях моделирования. Новыми признаками метода, увеличивающими прогностическую силу модели, являются: 1) оптимальный отбор факторов с помощью байесовского ансамбля вспомогательных нейросетей, осуществляющих компрессию факторного пространства; 2) ступенчатая компрессия факторов на основе обобщенной функции желательности Харрингтона; 3) регуляризация основной (рабочей) нейросетевой модели на байесовском ансамбле нейросетей. НЛМБ апробирована на реальных данных корпораций строительной отрасли. Число верно идентифицированных объектов на тестовом множестве составило более 90% на всех нейросетях ансамбля.В НЛМБ достаточно высокое прогностическое качество нейросетевой модели обеспечивается новыми признаками метода и порождает эмерджентный эффект, проверенный в вычислительных экспериментах: улучшение качества нейросетевой модели по критерию правильно идентифицированных объектов Θ составляет 3,336 раза при компрессии факторов в 1,35 раза. НЛМБ может быть распространен на широкий круг задач финансового менеджмента.

Suggested Citation

  • S. Gorbatkov A. & S. Farkhieva A. & С. Горбатков А. & С. Фархиева А., 2018. "Нейросетевая Модель Диагностики Стадий Развивающегося Банкротства Корпораций // Neural Network Model Of Diagnostics Of Stages Of Developing Corporate Bankruptcy," Финансы: теория и практика/Finance: Theory and Practice // Finance: Theory and Practice, ФГОБУВО Финансовый университет при Правительстве Российской Федерации // Financial University under The Government of Russian Federation, vol. 22(3), pages 112-123.
  • Handle: RePEc:scn:financ:y:2018:i:3:p:112-123
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    References listed on IDEAS

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    1. Ohlson, Ja, 1980. "Financial Ratios And The Probabilistic Prediction Of Bankruptcy," Journal of Accounting Research, Wiley Blackwell, vol. 18(1), pages 109-131.
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