本文選題：MARS + Logistic　； 參考：《湖南大學(xué)》2012年碩士論文

【摘要】：現(xiàn)代市場經(jīng)濟(jì)是一種信用經(jīng)濟(jì)，企業(yè)作為市場經(jīng)濟(jì)中的主體，既是信用風(fēng)險的承受者也是信用風(fēng)險的產(chǎn)生者。隨著我國市場經(jīng)濟(jì)的不斷發(fā)展，企業(yè)的違約行為產(chǎn)生的越來越多，波及面越來越大，損害了投資者、債權(quán)人的利益。因此建立合理的信用評估體系，有利于企業(yè)掌握自身財務(wù)狀況，便于內(nèi)部管理與控制；有利于債權(quán)人事前預(yù)測債務(wù)人信用風(fēng)險，保護(hù)債權(quán)人的利益；有助于引導(dǎo)社會資金向信用等級高的企業(yè)流動，促進(jìn)了資金的優(yōu)化配置；同時還促使監(jiān)管部門更好地進(jìn)行事前監(jiān)控。從而有利于企業(yè)的健康發(fā)展，保護(hù)投資者、債權(quán)人的利益，提高市場效率，保障市場的有序運(yùn)作。 本文利用上市企業(yè)的財務(wù)數(shù)據(jù)，設(shè)計了信用分析的指標(biāo)體系，利用多元自適應(yīng)回歸樣條(MARS)方法對企業(yè)的信用狀況建立信用評估模型。文章首先對現(xiàn)有的信用評估模型進(jìn)行了分析、評價。其次，對MARS模型進(jìn)行設(shè)計。再次，依據(jù)配對抽樣以及上市企業(yè)2008年的財務(wù)數(shù)據(jù)建立了MARS模型，并與Logistic模型進(jìn)行對比。最后，，基于研究結(jié)論提出了合理利用模型來防范風(fēng)險的政策建議。 通過理論分析及實證研究，本文得出了如下結(jié)論：首先，MARS模型作為一種非參數(shù)、非線性的回歸方法，具有良好的擬合及預(yù)測能力，非常適合解決大數(shù)量的數(shù)據(jù)集問題，能夠?qū)Ψ蔷�性和變量間的交互作用進(jìn)行建模，且運(yùn)算十分便捷。其次，通過構(gòu)建企業(yè)的MARS信用評估模型，并與Logistic模型進(jìn)行對比分析，發(fā)現(xiàn)其擬合精度及預(yù)測能力均強(qiáng)于Logistic回歸模型。再次，建立的MARS模型具有較廣泛的應(yīng)用價值。依據(jù)研究結(jié)論，本文提出要有健全的信息披露，以及關(guān)注企業(yè)財務(wù)數(shù)據(jù)的建議。
[Abstract]:Modern market economy is a kind of credit economy. As the main body of market economy, enterprise is not only the bearer of credit risk, but also the producer of credit risk. With the development of market economy in our country, more and more enterprises break the contract, which damages the interests of investors and creditors. Therefore, the establishment of a reasonable credit evaluation system is conducive to the enterprise to master its own financial situation, to facilitate internal management and control, to help creditors predict the debtor's credit risk in advance, and to protect the interests of creditors. It helps to guide social funds to flow to enterprises with high credit rating, and promotes the optimal allocation of funds. It also promotes better supervision and control by regulators. It is beneficial to the healthy development of enterprises, to protect the interests of investors and creditors, to improve the efficiency of the market and to ensure the orderly operation of the market. In this paper, the index system of credit analysis is designed by using the financial data of listed enterprises, and the credit evaluation model of enterprises is established by using multivariate adaptive regression spline mars (MARSs) method. Firstly, the paper analyzes and evaluates the existing credit evaluation model. Secondly, the MARS model is designed. Thirdly, MARS model is established based on paired sampling and financial data of listed companies in 2008, and compared with Logistic model. Finally, based on the conclusions of the study, the paper puts forward the policy recommendations of reasonable use of the model to prevent risks. Through theoretical analysis and empirical research, this paper draws the following conclusions: first of all, as a non-parametric, nonlinear regression method, Mars model has good ability of fitting and forecasting, so it is very suitable to solve the problem of large number of data sets. Nonlinear and variable interaction can be modeled, and the operation is very convenient. Secondly, the MARS credit evaluation model of enterprises is constructed and compared with the Logistic model. It is found that the fitting accuracy and prediction ability of the model are better than that of the Logistic regression model. Thirdly, the established MARS model has wide application value. According to the conclusion of the research, this paper puts forward the suggestion of sound information disclosure and concern about the financial data of enterprises.
【學(xué)位授予單位】：湖南大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2012
【分類號】：F832.4;F279.23;F224

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