تجسم ورشکستگی و پیش بینی با استفاده از شبکه های عصبی: مطالعه بانک های تجاری آمریکا
|کد مقاله||سال انتشار||مقاله انگلیسی||ترجمه فارسی||تعداد کلمات|
|48240||2015||13 صفحه PDF||سفارش دهید||9820 کلمه|
Publisher : Elsevier - Science Direct (الزویر - ساینس دایرکت)
Journal : Expert Systems with Applications, Volume 42, Issue 6, 15 April 2015, Pages 2857–2869
We develop a model of neural networks to study the bankruptcy of U.S. banks, taking into account the specific features of the recent financial crisis. We combine multilayer perceptrons and self-organizing maps to provide a tool that displays the probability of distress up to three years before bankruptcy occurs. Based on data from the Federal Deposit Insurance Corporation between 2002 and 2012, our results show that failed banks are more concentrated in real estate loans and have more provisions. Their situation is partially due to risky expansion, which results in less equity and interest income. After drawing the profile of distressed banks, we develop a model to detect failures and a tool to assess bank risk in the short, medium and long term using bankruptcies that occurred from May 2012 to December 2013 in U.S. banks. The model can detect 96.15% of the failures in this period and outperforms traditional models of bankruptcy prediction.