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20021252001A11301ABCABCB010CLogistic37,6ABCtp37112200120419981999200085.2%82.8%80.9%1998199968.8%68.6%3450182.5%0698.7%9100%212/343112001A11301ST19983165%,PT199920011252001224PTSTST20011220200150300.0519861221STPT33Logistic4ABCABCB010CLogistic37,6ABCtp37Logistict-1,t-2,t-3,t-4,t-51998199920001571.50%t-119981999200085.2%82.8%80.9%51998199968.8%68.6%200020012040182.5%098.7%9100%6/4STt-1,t-2,t-3,t-4,t-51998199920001998199968.8%70.0%200020012041993-20001711.11.1.1Altman1990()failure(insolvency)(default)(bankruptcy)1.1()failureDun&BradstreetBusinessfailure(insolvency)Walter1957(default)technicaldefault(legaldefault)(bankruptcy)Altman,1968;Ohlson,1971;Zmijewski,1984;8CaseyandBartczak19841985Azizetal1988azizandlawson1989Platt&Platt,1990Gilbertetal1990Beave1966ST1999200020012001STPTST121998ST1999PTLaitinen(1991)9Lau(1987)ST1ST1010001ST2002PT1.1.21.21011200096200097591620001649262000268432920007121.21.31234112233/4451a.b.2a.b.12RichardMorris,Howusefularefailurepredictionmodels?,ManagementAccounting,May19981.2.1FitzPatrick(1932)1319//1Winaker&Smith(1935)Merwin(1942)2ProfileAnalysisBeaver(1966)19541964797930Beaver///87%79%77%76%78%BeaverBalanceSheetDecompositionModel(GamblersRuin)Z1968Altman19461965335/////14ZZ///94%Altman(1977)1970197382%GriceIngram2001AltmanZZETA1977AltmanHaldeman&NarayananZETA//7196919755358ZETA70%91%ZETA1968AltmanZ3Sinkey,TerzaDince198780Zeta75%ZetaRaman(1982)CaseyBartczak198429060OperatingCashFlow/TakahashiKurokawa1984FerberHamilton198715AzizLawson1989lendercashflowOhlson(1980)19701976105205896.12%BartczakNorman19851971-198260230TirapatNittayagasetwat19991997ChenLee1993survivalanalysis80198019881754Wilkins(1997)technicaldefaultElloumiGueyie2001199419989216Frydman,AltmanKao1985Recursivepartitioning,5CoatsFant19914747100%91%9472%KimMcLeodJr.1999Gregory-AllenHenderson,Jr.1991(CatastropheTheory)LindsayCampbell1994462319.51%12.20%CharitouTrigeorgis20001983199413917/Hill,PerryAndes1995dynamicmodelWarrenWestbrook200019942332005PlattPlatt1990AltmanLoris1976NASD4011390%Pottier(1998)1990199248123Ward(1994)Ward1988198938518Gombola,Haskins,KetzWilliams1987707024CollinsGreen1982Lo1986Hughes(1993)managerialperformancemodel,Mossman,Bell,SwartzTurtle199819801991233Charalambous,CharitouKaourou(2000)19831994139191.2.21212301620censoredobservationsLogisticLogisticLogisticLogistic1.31999199827ST27ST199519974/6ST3ST2000(ST)12605%73.68%ST78.24%200121Fisher28%6.47%20011997ST1999ST19971998STSTlogitTobic5.6614.5ST19931Logistic2001222ABCLogistic37,6ABCtp372.119931993-2000AA11993-2000A2A1BB11993-200001B21993-20000CC11993-200023C21993-2000C31993-20002.11993199433001995171700199630228019974032711998856219419998148258200097512620353235853312.219931010199511019962201997990199824204199937251220004833151219031102.3A1A2B1B2C1C2C31994330030019951616101600199622222022802419973232903271199862622046219419994848251248258200050150331550262023323390312338533A2A1A1A1235600672600783A1A1A2233C1A12.22.2.1LogisticLogisticY12Y=1Y=2YY1(ttXXXXL21=))1(PrXYobp==pLogisticXXXXpppitttβαβββα+=++++=−=L2211)1ln()(log1(ttXXXXL21=)()tββββL21=Xαβαβα125)exp(1)exp(XXpβαβα+++=22.2.1At-0t-1t-2t-3t-4t-5t-1t-2t-3t-4t-51993t-4t-5ABCt-1t-2t-319932.2.335%95%265%95%332.337,62.4X1+/X2/X3/X4-/X5/6X6/-X7/X8/X9/X10-/X11/X12/X13/8X14/X15X16X17X185X19X20/X21//6X22/27X23/X24-/X25/X26/X27/X28/X29/5X30/X31LOGX32LOGX33X34X35X367X37619981997=++282.4tlogistic2.4.1AAA7A2.5A1A2A20.9%C12453.2%D31.3%E20.9%F41.7%G2410.3%H166.9%J125.2%K93.9%L20.9%M3515.0%233100.0%2331153.22%729199838.71%,17.74%3.23%4.03%,19982703281ST1997898714738010000-50000010000-500001000002.6A1A25,00000.0%10,00010.4%50,0007933.9%100,0006427.5%200,0005222.3%500,0002912.4%1,000,00041.7%1,500,00010.4%3,000,00031.3%3,000,00000.0%233100.0%300.00%5.00%10.00%15.00%20.00%25.00%30.00%35.00%40.00%5,00010,00050,000100,000200,000500,0001,000,0001,500,0003,000,0003,000,0002.1A1A2A1A2A358A2A1,t-100.020.040.060.08t-1t-2t-3t-4t-5A1A200.20.40.6t-1t-2t-3t-4t-5A1A22.2A1A2A1A2A1()A231A2A1()A1()A1////A2/A1()A2A2A1()A2A1A2A110A2A1A2A15%TP18182.7A1A2X2/X3/3X5/X7/X8/X9/4X13/X15X164X1732X18X20//2X23/0X31LOGX34X35X365X372.4.2BB1B2B1138B2137B1B2B1B2B1B22.8B1B2B1B2A00.0%39.7%C4651.1%1032.3%D0000E00.0%00.0%F22.2%26.5%G88.9%13.2%H77.8%722.6%J44.4%26.5%K55.6%00.0%L11.1%00.0%M1718.9%619.4%90100.0%31100.0%B10133B2B1B2B1B2B10110000-15000010000-50000B210000-10000050000-100000B1B22000002.9B1B2B1B2696,404249,4447,59020,73189,41373,8692.10B1B2B1B1B2B25,00000.0%00.0%10,00022.2%00.0%50,0003842.2%1238.7%100,0002628.9%1445.2%150,0001112.2%26.5%200,00044.4%26.5%300,00077.8%13.2%300,00022.2%00.0%90100.0%31100.0%0.0%5.0%10.0%15.0%20.0%25.0%30.0%35.0%40.0%45.0%50.0%5,00010,00050,000100,000150,000200,000300,000300,000B1B22.3B1B234B1B2B4B1B2/B1B2B1B2t-200.050.10.15t-1t-2t-3B1B200.511.5t-1t-2t-3B1B22.4B1B201B2B2t-2B1B2B1/B2/t-1/B1B2B2//B1B2()B1B2B1B2B2()B1B2t-2B235B1B2B1B25%TP1818/2.11B1B2X1+/X2/X3/X4-/5X5/X7/X8/X11/X12/5X13/0X20/X22/X24-//4X25/1X27/X31LOGX333X342.4.3CC1C2C3C1133611C2139C39C32.12C1C2C3C1C2C3A20.9%22.3%13.1%C12453.2%4046.5%1546.9%D31.3%00.0%00