@article{oai:chuo-u.repo.nii.ac.jp:00001250,
 author = {KONNO, Hiroshi and KAMAKURA, Toshinari and WATANABE, Norio and KOSHIZUKA, Kazuyuki},
 journal = {中央大学理工学研究所論文集},
 month = {Mar},
 note = {application/pdf, The purpose of this project is to propose a new and practical method for estimating the failure probability of a large number of small to medium scale companies using semi-definite programming approach.
Calculation of failure probability plays an essential role for determining an appropriate level of interest rate of the money to be loaned to individual companies. Also, it can be used for failure discriminant analysis, i.e., for classifying companies into failing group and ongoing group during the next period.
Estimation of failure probability has a long history since the great depression in the1930’s. One of the most popular methods is to use the rating scores announced by reliable rating institutions such as S&P and Moody’s. Unfortunately, however reliable rating scores are not available for small to medium scale companies, because it is very time consuming and expensive to acquire it.
There exists a number of methods for predicting the failure probability of companies using their financial data. Among successful methods are those based upon rating transition matrix. Also, a number of stochastic models of the evolution of the net capital have been proposed for estimating the failure probability., 【査読有】},
 pages = {51--55},
 title = {Prediction of Bankruptcy of Small to Medium Scale Companies via Semi-Definite Programming},
 volume = {9},
 year = {2004}
}