时间：5月27日（周六）下午1:00-2:00
地点：统计楼105
Title:ON CORPORATE BANKRUPTCY PREDICTION
Speaker:Yan Yu,Joseph S.Stern Professor of Business Analytics,University of Cincinnati,USA
Abstract:Corporate bankruptcy prediction plays a central role in academic finance research,business practice,and government regulation.Consequently,accurate default probability prediction is extremely important.I will present a discrete transformation family of survival models to corporate default risk predictions.A class of Box-Cox transformations and logarithmic transformations is naturally adopted.The proposed transformation model family is shown to include the popular Shumway model and the grouped relative risk model.We show that a transformation parameter different from those two models is needed for default prediction using a bankruptcy dataset.Due to some distinct features of the bankruptcy application,the proposed class of discrete transformation survival models with time-varying covariates is different from the continuous survival models in the survival analysis literature.Their similarities and differences are discussed.In addition,I will present some recent results on dynamic variable selection to investigate the relative importance of various bankruptcy predictors commonly used in the existing literature.
报告人简介：俞燕教授现为美国辛辛那提大学工商管理学院约瑟夫∙斯特恩讲座教授，终身(正)教授，博士导师，并任美国华人教授与科学家协会理事。曾任辛辛那提大学校学术委员会委员，院学术委员会主任。现为美国统计协会(ASA)，管理科学协会(INFORMS),金融协会(AFA)会员等。曾为贝尔实验室，朗讯科技，瑞士信贷第一波士顿, 5/3 银行，杜克能源等提供咨询。俞燕博士获得美国康奈尔大学(Cornell)博士,Texas A&M大学硕士，中国科技大学本科学位。俞燕博士的研究方向和兴趣主要包括金融研究，期权定价，非参数估计方法，和大数据挖掘等。曾任顶尖专业杂志Journal of the American Statistical Association, Statistica Sinica副主编。如果想了解更多关于俞燕教授的信息，请浏览http://business.uc.edu/academics/departments/obais/faculty/yan-yu.html。