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Review of Quantitative Finance and Accounting

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01-05-2012 | Original Research

Bankruptcy prediction for Korean firms after the 1997 financial crisis: using a multiple criteria linear programming data mining approach

Authors: Wikil Kwak, Yong Shi, Gang Kou

Published in: Review of Quantitative Finance and Accounting | Issue 4/2012

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Abstract

The main purpose of this paper is to evaluate the data mining applications, such as classification, which have been used in previous bankruptcy prediction studies and credit rating studies. Our study proposes a multiple criteria linear programming (MCLP) method to predict bankruptcy using Korean bankruptcy data after the 1997 financial crisis. The results, of the MCLP approach in our Korean bankruptcy prediction study, show that our method performs as well as traditional multiple discriminant analysis or logit analysis using only financial data. In addition, our model’s overall prediction accuracy is comparable to those of decision tree or support vector machine approaches. However, our results are not generalizable because our data are from a special situation in Korea.

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Title: Bankruptcy prediction for Korean firms after the 1997 financial crisis: using a multiple criteria linear programming data mining approach
Authors: Wikil Kwak
Yong Shi
Gang Kou
Publication date: 01-05-2012
Publisher: Springer US
Published in: Review of Quantitative Finance and Accounting / Issue 4/2012
Print ISSN: 0924-865X
Electronic ISSN: 1573-7179
DOI: https://doi.org/10.1007/s11156-011-0238-z

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