Title :
Predicting Risk Parameters Using Intelligent Fuzzy/Logistic Regression
Author :
Wu, Shun-Jyh ; Lin, Shu-Ling ; Shu-Ling Lin ; Ma, Hsiu-lan
Author_Institution :
Dept. of Digital Literature & Arts, St. John´´s Univ., Taipei, Taiwan
Abstract :
A new hybrid approach based on fuzzy logics and logistic regression analysis is proposed to demonstrate whether supervision has early warning ability of financial crises for Taiwan´s banking industry. First, it extracts significant financial variables, macroeconomic variable and corporate governance variable affecting the occurrence of banking crises from past literature, and then creates financial crisis warning system with data of 5 years, 4 years, 3 years, and 2 years before the occurrence of banking crises and discussed key factors causing banking crises. Extracted key factors are further predicted by a fuzzy logics model. When the fuzzy forecasting model is developed to predict the key variables, satisfactory results are obtained. The current hybrid approach is proved to be robust and accurate.
Keywords :
banking; economic cycles; forecasting theory; fuzzy logic; logistics; macroeconomics; regression analysis; risk management; Taiwan´s banking industry; corporate governance variable; early warning ability; financial crises; financial variables; fuzzy forecasting model; fuzzy logics; intellegent fuzzy-logistic regression; macroeconomic variable; risk parameters; Alarm systems; Banking; Correlation; Fuzzy logic; Logistics; Predictive models; Time series analysis; Fuzzy Logics; banking crises; logistic regression; warning model;
Conference_Titel :
Artificial Intelligence and Computational Intelligence (AICI), 2010 International Conference on
Conference_Location :
Sanya
Print_ISBN :
978-1-4244-8432-4
DOI :
10.1109/AICI.2010.320