A corporate failure prediction method based on Monte Carlo simulation technique

Fang Zhou; Liyan Han

A corporate failure prediction method based on Monte Carlo simulation technique

Fang Zhou^*
, Liyan Han

^*Corresponding author for this work

School of Economics and Management

Beihang University

Research output: Contribution to conference › Paper › peer-review

Abstract

Corporate failure analysis is a hot topic for business research now. The last work was mainly focused on the methods to discriminate current company position according to existing business financial data. Corporate failure prediction method based on Monte Carlo simulation(CFPM-MC) is proposed. The new method employs Monte Carlo simulation to simulate the next period's financial data, calculates the financial ratios via parameter equations, obtains the probability of corporate failure according to a discriminant model, and foresees whether corporate failure occurs or not with the business decision for next period. So CFPM-MC can predict future business position to meet decision maker requirement. At the end, a simple is presented to show the validity of CFPM-MC.

Original language	English
Pages	1462-1466
Number of pages	5
State	Published - 2005
Event	Asian Simulation Conference 2005, ASC 2005 and the 6th International Conference on System Simulation and Scientific Computing, ICSC 2005 - Beijing, China Duration: 24 Oct 2005 → 27 Oct 2005

Conference

Conference	Asian Simulation Conference 2005, ASC 2005 and the 6th International Conference on System Simulation and Scientific Computing, ICSC 2005
Country/Territory	China
City	Beijing
Period	24/10/05 → 27/10/05

Keywords

Corporate failure prediction
Monte Carlo
Simulation
Z-score model

Cite this

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title = "A corporate failure prediction method based on Monte Carlo simulation technique",

abstract = "Corporate failure analysis is a hot topic for business research now. The last work was mainly focused on the methods to discriminate current company position according to existing business financial data. Corporate failure prediction method based on Monte Carlo simulation(CFPM-MC) is proposed. The new method employs Monte Carlo simulation to simulate the next period's financial data, calculates the financial ratios via parameter equations, obtains the probability of corporate failure according to a discriminant model, and foresees whether corporate failure occurs or not with the business decision for next period. So CFPM-MC can predict future business position to meet decision maker requirement. At the end, a simple is presented to show the validity of CFPM-MC.",

keywords = "Corporate failure prediction, Monte Carlo, Simulation, Z-score model",

author = "Fang Zhou and Liyan Han",

year = "2005",

language = "英语",

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note = "Asian Simulation Conference 2005, ASC 2005 and the 6th International Conference on System Simulation and Scientific Computing, ICSC 2005 ; Conference date: 24-10-2005 Through 27-10-2005",

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T1 - A corporate failure prediction method based on Monte Carlo simulation technique

AU - Zhou, Fang

AU - Han, Liyan

PY - 2005

Y1 - 2005

N2 - Corporate failure analysis is a hot topic for business research now. The last work was mainly focused on the methods to discriminate current company position according to existing business financial data. Corporate failure prediction method based on Monte Carlo simulation(CFPM-MC) is proposed. The new method employs Monte Carlo simulation to simulate the next period's financial data, calculates the financial ratios via parameter equations, obtains the probability of corporate failure according to a discriminant model, and foresees whether corporate failure occurs or not with the business decision for next period. So CFPM-MC can predict future business position to meet decision maker requirement. At the end, a simple is presented to show the validity of CFPM-MC.

AB - Corporate failure analysis is a hot topic for business research now. The last work was mainly focused on the methods to discriminate current company position according to existing business financial data. Corporate failure prediction method based on Monte Carlo simulation(CFPM-MC) is proposed. The new method employs Monte Carlo simulation to simulate the next period's financial data, calculates the financial ratios via parameter equations, obtains the probability of corporate failure according to a discriminant model, and foresees whether corporate failure occurs or not with the business decision for next period. So CFPM-MC can predict future business position to meet decision maker requirement. At the end, a simple is presented to show the validity of CFPM-MC.

KW - Corporate failure prediction

KW - Monte Carlo

KW - Simulation

KW - Z-score model

UR - https://www.scopus.com/pages/publications/84902438228

M3 - 论文

AN - SCOPUS:84902438228

SP - 1462

EP - 1466

T2 - Asian Simulation Conference 2005, ASC 2005 and the 6th International Conference on System Simulation and Scientific Computing, ICSC 2005

Y2 - 24 October 2005 through 27 October 2005

ER -

A corporate failure prediction method based on Monte Carlo simulation technique

Abstract

Conference

Keywords

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Cite this