基于Mixed Multinomial Logit模型的财务困境预警分析：以制造业为例

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1、-哈尔滨工业大学管理学硕士学位论文AbstractFinancialcrisisof2008highlightedtheshortcomingsofriskmanagementpracticeswithinthelendingenvironmentandriskassessmentatthemicrolevel.Lendersandotherinvestorsinthecorporatesectoralongwithregulatorsrequiretimelyinformationonthedefaultriskprobabilityofcorporations

2、.Thecontinualdevelopmentofconceptuallyricherandmoreaccurateforecastingmodelsisofimportancetoregulators,practitioners,andacademics.ThethesistakesChinese201listingcorporationsasthesample,basedonthetheoreticalanalysisandtheactualsituationofChinesesecuritiesmarket,thecompaniesisdividedint

3、othree-stateclassification:financialdistresscompany,sub-healthcompany,healthycompany.Intheresearch,themixedmultinomiallogitisthemainmethodused,comparedwithtraditionalstandardmultinomiallogit,mixedmultinomiallogitrelaxesbehaviorallyquestionableassumptionsassociatedwithindependencefromi

4、rrelevantalternatives（I.I.A）andallowedforobservedandunobservedheterogeneity,themodelshowsthegreaterflexibility.Thenmultinomiallogitandmixedmultinomiallogitmodelareemployedtoestablishthree-stateclassificationfinancialdistresspredictionmodelusingfinancialratiosdataintheinvestigationresp

5、ectively.Theempiricalresultsdemonstratethatmodel-fitsandout-of-sampleforecastingaccuracyofthemixedmultinomiallogitaremuchsuperiortostandardmultinomiallogit.Also,mixedmultinomiallogitallowsameaningfulinterpretationoftheroleofthemeanandvarianceinfluenceofaparticularvariablethroughthestr

6、uctureofitsparameterspace.Themixedmultinomiallogitmodelthatconstructsintheresearchnotonlycanbeusedtopredictthree-stateclassification,butalsocanapplytopredicttwo-stateclassification.Themodelhavevaluableapplicationinfinancialdistress.Keywords:financialdistressprediction,three-stateclass

7、ification,mixedmultinomiallogit,multinomiallogit----II----哈尔滨工业大学管理学硕士学位论文目录摘要...............................................................................................................................IAbstract.......................................................................

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