Informatics and Applications
2019, Volume 13, Issue 4, pp 30-35
RESEARCH OF THE POSSIBILITY TO FORECAST CHANGES IN FINANCIAL STATE OF A CREDIT ORGANIZATION ON THE BASIS OF PUBLIC FINANCIAL STATEMENTS
- Yu. I. Zhuravlev
- O. V. Sen'ko
- N. N. Bondarenko
- V. V. Ryazanov
- A. A. Dokukin
- A. P. Vinogradov
Abstract
The mathematical model for forecasting of license revocation of a credit organization in the 6-month period based on public financial statements is considered. The model represents an ensemble of combinatorial and logical methods and decision trees of different types. Its effectiveness estimated by ROC AUC (area under receiver operating characteristic curve) is 0.74. The model allows distinguishing groups of credit organizations with higher and lower license revocation risks. Also, the ranking of different financial statement indicators has been performed which marked the importance of liquid and highly liquid assets.
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[+] About this article
Title
RESEARCH OF THE POSSIBILITY TO FORECAST CHANGES IN FINANCIAL STATE OF A CREDIT ORGANIZATION ON THE BASIS OF PUBLIC FINANCIAL STATEMENTS
Journal
Informatics and Applications
2019, Volume 13, Issue 4, pp 30-35
Cover Date
2019-12-30
DOI
10.14357/19922264190405
Print ISSN
1992-2264
Publisher
Institute of Informatics Problems, Russian Academy of Sciences
Additional Links
Key words
forecasting; algorithm ensembles; financial state; credit organization
Authors
Yu. I. Zhuravlev  ,  , O. V. Sen'ko , N. N. Bondarenko ,
V. V. Ryazanov , A. A. Dokukin , and A. P. Vinogradov
Author Affiliations
Federal Research Center "Computer Science and Control" of the Russian Academy of Sciences, 44-2 Vavilov Str., Moscow 119333, Russian Federation
M. V. Lomonosov Moscow State University, 1-52 Leninskie Gory, GSP-1, Moscow 119991, Russian Federation
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