Модель прогнозирования дефолта для компаний сферы услуг на развивающемся рынке
Аннотация
Автор протестировал гипотезу о том, что прогнозирование дефолтов с помощью финансовых данных может быть неприменимо для организаций сферы услуг из России, проанализировав различия в точности моделей предсказания дефолта, построенных на основе исключительно финансовых данных, для организаций сферы услуг из России и развитых европейских стран. В качестве инструментов моделирования использовались методы машинного обучения: логистическая регрессия, random forest (случайный лес), k-nearest neighbors (k-ближайших соседей) на выборке из 404 российских фирм и
304 фирм из развитых европейских стран.
Результаты моделирования показали, что ошибка прогнозирования значительно выше для российских
организаций относительно организаций из развитых европейских стран. Таким образом, использование исключительно финансовых коэффициентов для прогнозирования банкротства для организаций сферы услуг в России представляется недостаточным.
Результаты исследования могут быть использованы кредитными организациями, организациями,
осуществляющими профессиональную оценку кредитного риска, и прочими участниками рынка,
заинтересованными в оценке финансового состояния контрагентов.
Скачивания
Литература
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