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Predicting the risk of financial distress using corporate governance measures
پیش بینی خطر پریشانی مالی با استفاده از اقدامات حاکمیت شرکتی-2020 Corporate governance is an important determinant of corporate performance. Poor corporate governance can damage the interests of shareholders, and may lead to business collapse. This paper expands the literature on credit risk management by assessing the effectiveness of aspects of corporate governance for predicting financial distress in a dynamic discrete-time survival analysis model. It is a comprehensive, up-to-date and thorough study, which uses a large range of corporate governance measures, financial ratios and macroeconomic variables in a panel data structure over a 17-year period. Furthermore, the paper addresses the relationship between government ownership and the risk of financial distress in China. The results suggest that although corporate governance alone is not sufficient to accurately predict financial distress, it can add to the predictive power of financial ratios and macroeconomic factors. In addition, the model provides insights into the role of state ownership, independent directors, institutional investors and some personal characteristics of the Chair of the board. Implications are made regarding them and the debt and bankruptcy problem in China and Asia. Keywords: Corporate governance | Credit risk | Survival analysis | Financial distress | Ownership structure |
مقاله انگلیسی |
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Distributed learning on 20 000+ lung cancer patients – The Personal Health Train
یادگیری توزیع شده بر روی 20 000+ بیمار مبتلا به سرطان ریه - آموزش بهداشت شخصی-2020 Background and purpose: Access to healthcare data is indispensable for scientific progress and innovation.
Sharing healthcare data is time-consuming and notoriously difficult due to privacy and regulatory concerns.
The Personal Health Train (PHT) provides a privacy-by-design infrastructure connecting FAIR
(Findable, Accessible, Interoperable, Reusable) data sources and allows distributed data analysis and
machine learning. Patient data never leaves a healthcare institute.
Materials and methods: Lung cancer patient-specific databases (tumor staging and post-treatment survival
information) of oncology departments were translated according to a FAIR data model and stored
locally in a graph database. Software was installed locally to enable deployment of distributed machine
learning algorithms via a central server. Algorithms (MATLAB, code and documentation publicly available)
are patient privacy-preserving as only summary statistics and regression coefficients are exchanged
with the central server. A logistic regression model to predict post-treatment two-year survival was
trained and evaluated by receiver operating characteristic curves (ROC), root mean square prediction
error (RMSE) and calibration plots.
Results: In 4 months, we connected databases with 23 203 patient cases across 8 healthcare institutes in
5 countries (Amsterdam, Cardiff, Maastricht, Manchester, Nijmegen, Rome, Rotterdam, Shanghai) using
the PHT. Summary statistics were computed across databases. A distributed logistic regression model
predicting post-treatment two-year survival was trained on 14 810 patients treated between 1978 and
2011 and validated on 8 393 patients treated between 2012 and 2015.
Conclusion: The PHT infrastructure demonstrably overcomes patient privacy barriers to healthcare data
sharing and enables fast data analyses across multiple institutes from different countries with different
regulatory regimens. This infrastructure promotes global evidence-based medicine while prioritizing
patient privacy. Keywords: Lung cancer | Big data | Distributed learning | Federated learning | Machine learning | Survival analysis | Prediction modeling | FAIR data |
مقاله انگلیسی |
3 |
Influence of local environment on exit of accommodation establishments
تاثیر محیط محلی روی خروج تاسیسات اقامتی-2018 This study investigates how the local environment (access to fibre broadband infrastructure, local competition and seasonality) alongside commonly established factors such as size, age and price, influences exit of accommodation establishments during a period of ten years. Cox proportional hazard model estimations based on census data for the accommodation sector show that the supply of fibre broadband infrastructure on the premises, or close by, is of importance for the continuation of the establishment. However, size is the solely most influential factor for longevity of accommodation establishments, followed by seasonality (increasing the risk of exit), fibre broadband supply (except for city hotels) and the price level. Local competition is only marginally relevant, for city hotels. In addition, the estimations show no clear traces of the financial crisis.
keywords: Exit |Survival analysis |Accommodation establishments |Hotels |Fibre broadband infrastructure |Seasonality |Local competition |Geographical concentration |
مقاله انگلیسی |
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Credit risk modelling under recessionary and financially distressed conditions
مدلسازی خطر اعتباری تحت شرایط دشوار مالی و رکود -2018 This paper provides clear cut evidence that economic recession and distressed financial conditions, as well as political instability constitute the key factors for mortgage default. Banning foreclosure procedures, often adopted by governments to mitigate the effects of the above conditions on loan defaulting, are found to positively influence the loan default probability, and thus they make efforts of banks to restructure (or refinance) mortgage loans a difficult task. Our results add support to the view that foreclosure moratorium may raise moral hazard incentives that borrowers will not maintain their payments in long run. The empirical analysis of the paper is based on an extension of the discrete-time survival analysis model which allows for a structural break in its baseline hazard function and a unique set of individual loan accounts. We also consider alternative specifications of the binary link function between default events and covariates. Asymmetric link functions are found to be more appropriate under financial distressed conditions.
keywords: Mortgage loans |Survival analysis |Structural breaks |Financial distressed conditions |Probability of default |
مقاله انگلیسی |
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A Novel behavioral scoring model for estimating probability of default over time in peer-to-peer lending
یک مدل امتیازدهی رفتاری نوین برای تخمین احتمال شکست درطی زمان در وام دهی همکار به همکار-2018 Traditional behavioral scoring models applying classification methods that yield a static probability of default may ignore the borrowers’ dynamic characteristics because borrower repayment behavior evolves dynamically. In this study, we propose a novel behavioral scoring model based on a mixture survival analysis framework to predict the dynamic probability of default over time in peer-to-peer (P2P) lending. A random forest is utilized to identify whether a borrower will default, and a random survival forest is introduced to model the time to default. The results of an empirical analysis on a Chinese P2P loan dataset show that the proposed ensemble mixture random forest (EMRF) has a better performance in terms of predicting the monthly dynamic probability of default, while compared with standard mixture cure model, Cox proportional hazards model and logistic regression. It is also concluded that the proposed EMRF model provides a meaningful output for timely post-loan risk management.
keywords: Behavioral scoring |Dynamic probability |P2P lending |Random forest |Random survival forest |Risk management |Survival analysis |
مقاله انگلیسی |
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Education and transition to work: Evidence from Vietnam, Cambodia and Nepal
آموزش و گذر به کار: شواهدی از ویتنام، کامبوج و نپال-2018 Against the background of education expansion and economic transformations, little is known about how education shapes the transition to work in developing countries. Drawing on the cases of Vietnam, Cambodia and Nepal, this study examines the association between education and the timing and quality of transition to work. In Vietnam and Cambodia, school enrolment delays the transition to first paid employment, but upon leaving school, higher education attainment is associated with faster rate of transition. The education gradient is even stronger in probabilities and rates of transition to first stable, long-term employment. In Nepal, school enrolment does not preclude transition to paid employment, and the relation between education attainment and transition to work differs significantly by gender.
keywords: Youth unemployment |Survival analysis |Education |Transition to work |
مقاله انگلیسی |
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A complicated relationship: Family involvement in the top management team and post-IPO survival
یک رابطه پیچیده: دخالت خانواده در تیم مدیریت ارشد و بقای پس از IPO-2017 This exploratory study aims to analyse how and whether family involvement in the top management
team of listed family firms affects post-IPO survival on capital markets. We tested our hypotheses on a
data set of listed family firms over the period 2000–2011 using survival analysis. Our findings suggest that
a higher number of family members in the top management team reduces the likelihood of post-IPO
survival, but the relationship is affected by a family member as CEO. The number of generations is also
negatively correlated with survival.
Keywords: Initial public offering | Top management team | Family management | Family leadership | Survival analysis | Family firms |
مقاله انگلیسی |
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Short-term safety or long-term failure? Empirical evidence of the impact of securitization on bank risk
ایمنی کوتاه مدت یا شکست طولانی مدت؟ شواهد تجربی از تأثیر اوراق بهادار بر ریسک بانک-2017 Based on a sample of U.S. commercial banks from 2002 to 2012, this paper shows that bank
loan securitization has a significant and positive impact on both Z-scores and the likelihood
of bank failure, indicating a short-term risk reduction and a long-term risk increase effect.
We also find disparate impacts between mortgage and non-mortgage securitization. Loan
sale activities are found to have a similar impact to securitization.
Keywords: Securitization | Bank risk | Bank failure | Heckman self-selection | Survival analysis |
مقاله انگلیسی |
9 |
Estimating the remaining useful tool life of worn tools under different cutting parameters: A survival life analysis during turning of titanium metal matrix composites (Ti-MMCs)
برآورد عمر ابزار مفید باقی مانده از ابزار های فرسوده تحت پارامترهای مختلف برش: تجزیه و تحلیل زندگی برای بقا در طول تبدیل کامپوزیت های زمینه فلزی تیتانیومی (Ti-MMCs)-2016 Utilizing the full tool life capacity of cutting tools has always been a concern, due to the considerable costs associated with suboptimal replacement of tools. Reliable reuse of worn inserts could significantly reduce machining costs. This study aims at estimating the remaining useful life of worn cutting inserts under multiple cutting parameters during turning of Ti-MMCs, using the actual tool wear value of the worn tool as the input data. A proportional hazards model with a Weibull baseline is developed. Maximum flank wear length at the transition point between the second and third state of tool wear is chosen as the failure criteria. Tool wear, cutting speed and feed rate are considered as the covariates of the model. The reliability and hazard functions are calculated from the model and are utilized to obtain the mean residual life of inserts under different cutting parameters and tool wear levels. The accuracy of the model is validated using experimental data. The results confirmed the validity and reliability of the model.© 2015 CIRP.
Keywords: Tool life estimation | Worn tools | Survival analysis |
مقاله انگلیسی |
10 |
Arts education and the high school dropout problem
آموزش هنر و مشکل ترک تحصیل دبیرستان-2015 Arts education advocates belief that quality education in the arts can
engage at-risk students in ways other subjects cannot and is therefore an important
tool in preventing high school dropout. Although some studies point to lower
dropout rates, most do not follow a large number of students over time or account
for student and school characteristics expected to influence one’s educational path.
We fill this gap in the current literature by tracking nearly 175,000 first-time 9thgraders for 5 years using survival analysis with longitudinal administrative data
from Texas. We find that cumulative credits in the arts are consistently associated
with reduced dropout, even after controlling for prior achievement and contemporaneous course completion in core subjects. Our results provide evidence that the
arts are a potential lever in education reform. Experimental and/or quasi-experimental research studies are needed to isolate the salient conditions under which arts
participation can reduce dropout.
Keywords: Education Dropout Survival analysis Hazard estimates |
مقاله انگلیسی |