| SME`s Bankruptcy Prediction Model with Maximum Expected Utility |
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Jang Woo Lee, Se Wang Kwon |
| Maximum Expected Utility를 이용한 중소기업 부도예측모형 연구 |
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이장우, 권세왕 |
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| Abstract |
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Estimating default probabilities of firms is the most important field of company`s credit evaluation. Especially, because of BASELⅡ agreement, company`s credit evaluation is becoming more important than ever before. The aim of this study is to compare the performance of estimating default probabilities by linear logistic model with that by MEU (maximum expected utility) model recently suggested for small and medium-sized company`s credit rating. Fitting MEU model, we consider both full model and reduced model. As a result, we show that the performance of full model is better than that of reduced model. Also, the experiment results show that MEU model outperforms linear logistic model. |
| Key Words:
선형로지스틱회귀모형,AR,AUROC,Linear Logistic Regression Model,Master Scale PD,Maximum Expected Utility |
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