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The Research of Private Enterprises Credit Scoring Based on Multivariate Adaptive Regression Splines

Author: DuYuanYuan
Tutor: MengQingFu
School: Jilin University
Course: Quantitative Economics
Keywords: Private enterprises Multivariate Adaptive Regression Splines Credit rating
CLC: F276.5
Type: Master's thesis
Year: 2007
Downloads: 331
Quote: 2
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Abstract


Private enterprises is an important part of our national economy , and played an important role in providing jobs and promote institutional innovation and economic growth . However , private enterprises in financing to face a lot of problems need to be addressed with the credit rating method . The paper selected financial data of 2002 private enterprises , the credit status of private enterprises \First screened by the singular value identified 194 samples . Secondly , the application of variable contribution calculation method to determine the five classification rating indicators : Net assets per share , cash ratio , return on net assets , the net profit margin of the main business debt asset ratio . Finally, cross-validation method to predict , forecast results accuracy rate of 95.9% . The study results show that : compared with the multiple discriminant analysis and logistic regression models , the model showed good classification accuracy . The especially discriminant second type of error , classification accuracy of 80% , much higher than the statistical model classification accuracy rate of 64% . Multivariate adaptive regression spline method has a good practical value for the credit rating of private enterprise worthy of further promotion .

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CLC: > Economic > Economic planning and management > Enterprise economy > A variety of enterprise and economic > The private sector
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