M98U0203

981223

2007

1.1

1.2

1.2

2.1DEA-DA Retzlaff-Roberts1996DEA-DADEA-Discriminant Analysis

2.1DEA-DA G1G2nmZijji ii

DEA-DA

2.2 Berkson1944

i=1,2..,n k

3.1DEA-DA

3.2 DEADMUDEADEADMUDMUDEA-DA

3.2 (01)(dummy variables)

4.1161513220012005(34383213225)2006(1259431)

4.21 314322550DEA-DA

4.22

4.23 20012005DEA-DA58.99%1

4.24

4.3

4.367.91%67.78%p-value=0.047

4.4 59.06%72.89%

4.5/

DEA-DA Retzlaff-Roberts1996DEA-DADiscriminant AnalysisSueyoshi 1999 DEA-DADEASueyoshi 2004DEA-DA(MIP Extended DEA-DA)SueyoshiExtended DEA-DA

(Classification and overlap identification, COI)(Handling overlap, HO)DA

DEA-DA

[1] BankWatch 2000[2] -2004[3] Logistic-[4] , 2004[5] -2007[6] ,2006[7] Sueyoshi-[8] IRB (2004), , ,24, 10-14[9] 2002[10] ,2005[11] 2005[12] 2007[13] 2004[14] 2006[15] 2007http://www.moeasmea.gov.tw[16] 2005[16] 2005[17] Baesens B., Gestel T., Viaene S., Stepanova M., Suykens J. andVanthienen J., Benchmarking state-of-the-art classificationalgorithms for credit scoring, Journal of the Operational ResearchSociety, Vol.54, pp.627635,2003.

[18] Emel, A. B., Oral, M., Reisman, A., and Reha, Y., A Credit ScoringApproach for the Commercial Banking Sector, Socio-EconomicPlanning Sciences, Vol.37, No.2, pp.103-123, 2003.[19] Guyon, I., and Elisseeff, A., An Introduction to Variable and FeatureSelection, Journal of Machine Learning Research 3, pp. 1157-1182,2003.[20] Kim, J., Ramaswamy, K. and Sundaresan, S., Does Default Risk inCoupons Affect the Valuation of Corporate Bonds A ContingentClaims Model, Financial Management, 22, pp. 117-131, 1993. [21] Ong. M. K. (Ed.)., Credit ratings :methodologies, rationale anddefault risk. p.391-411. London :Risk Waters Group, 2002.[22] Paradi, J., Asmild, M. and Simak, P., Using DEA and Worst PracticeDEA in Credit Risk Evaluation, Journal of Productivity Analysis,Vol.21 No.2, pp. 153-165, 2004.[23] Retzlaff-Roberts, D. L., Relating Discriminate Analysis and DEA toOne Another, Computers and Operations Research, Vol. 23,pp.311-322, 1996.[24] Sueyoshi T., Mixed integer programming approach of extendedDEA-discriminant analysis, European Journal of OperationalResearch, 152, 45-55, 2004.[25] Sueyoshi T., DEA-discriminant analysis: Methodologicalcomparison among eight discriminant analysis approach, EuropeanJournal of Operational Research, 169, 247-272, 2006.