Comparing the modeling performance of regression and neural networks as data quality varies: A business value approach

Journal of Management Information Systems

Volumn 10, Issue 1, 1993, Pages 11-32

  Bansal, Arun ^a   Kauffman, Robert J ^c   Weitz, Rob R ^b  

^a Bear Stearns & Co Inc   (United States)

^b SETON HALL UNIVERSITY   (United States)

^c NONE

Author keywords

Business value of information technology; Data quality; Decision support systems; Forecasting; Information economics; Mortgage backed securities; Neural networks; Prepayment forecasting; Risk management forecasting systems

Indexed keywords

EID: 75949089711     PISSN: 07421222     EISSN: None     Source Type: Journal    
DOI: 10.1080/07421222.1993.11517988     Document Type: Article

References (40)

1. Ahituv, N. Assessing the value of information: problems and approaches. Proceedings of the Tenth International Conference on Information Systems, Boston, 1989, pp. 315-325.
2. Altman, E.I.; Haldeman, R.; and Narayanan, P. Zeta analysis: a new model for identifying bankruptcy risk. Journal of Banking and Finance, 1, 1 (1977), 29-54.
3. Altman, E.I.; Avery, R.B.; Eisenbeis, R.A.; and Sinkey, J.F., Jr. Applications of Classification Techniques in Business, Banking and Finance. Greenwich, CT: JAI Press, 1981.
4. Arak, M., and Goodman, L. S. Prepayment risk in ginniemae pools. Secondary Mortgage Markets (Spring 1985), 20-25.
5. Arend, M. Financial databases flag overseas opportunities. Wall Street Computer Review (October 1989).
6. Ballou, D.P., and Pazer, H.L. Modeling data and process quality in multi-input, multi-output information systems. Management Science, 31, 2 (February 1985), 152-162.
7. Bansal, A., and Kauffman, R.J. Risk management and data quality selection: an information economics approach. Working Paper, Center for Research on Information Systems, Stem School of Business, New York University, September 1992.
8. Bartlett, W.W. Mortgage-backed Securities: Products, Analysis and Trading. New York: New York Institute of Finance, 1989.
9. Barua, A.; Kriebel, C.H.; and Mukhopadhyay, T. MIS and information economics: augmenting rich description with analytical rigor in information systems design. Proceedings of the Tenth International Conference on Information Systems, Boston, 1989, pp. 327-339.
10. Beaver, W.H. Financial ratios as predictors of failure. In Empirical Research in Accounting: Selected Studies 1966. Journal of Accounting Research, 4 (supplement) (1967), 71-111.
11. Colin, A. Machine learning techniques for foreign exchange trading. Proceedings of the Third Annual International Conference on Advanced Trading Technologies, New York, July 1992.
12. Curley, C., and Guttentag, J. The yield on insured residential mortgages. Explorations in Financial Research (Summer 1974), 114-161.
13. Cushing, B.E. A mathematic approach to the analysis and design of internal control systems. The Accounting Review, 49, 1 (January 1974), 24-41.
14. Demski, J.S. Information Analysis, 2d ed. Reading, MA: Addison-Wesley, 1985.
15. Doherty, N.A. Corporate Risk Management. New York: McGraw-Hill, 1985.
16. Dutta, S., and Shekhar, S.Bondrating: anon-conservative application of neural networks. Proceedings of the Second International Conference on Neural Networks, San Diego, 1988, pp. 443-450.
17. Green, J., and Shoven, J.B. The effects of interest rates on mortgage prepayments. Journal of Money, Credit and Banking (February 1986), 41-59.
18. Hayre, L.S.; Lauterbach, K.; and Mohebbi, C. Prepayment models and methodologies. In Frank J. Fabozzi (ed.), Advances and Innovations in the Bond and Mortgage Markets. Chicago: Probus Publishing, 1989.
19. Hilton, R.W. The determinants of information value: synthesizing some general results. Management Science, 27, 1 (1981), 57-64.
20. Ijiri, Y., and Itami, H. Quadratic cost-volume relationship and the timing of demand information. The Accounting Review, 48, 3 (October 1973), 724-737.
21. Kang. P., and Zenios, S.A. Complete prepayment models for mortgage-backed securities. Management Science, 38, 11 (November 1992), 1665-1685.
22. Law, A. M., and Kelton, W.D. Simulation Modeling and Analysis. New York: McGraw-Hill, 1982.
23. Leinweber, D. Intelligent trading systems. In W.H. Wagner (ed.). The Complete Guide to Securities Transactions: Enhancing Investment Performance and Controlling Costs. New York: John Wiley, 1989.
24. Lippmann, R.P. An introduction to computing with neural nets. IEEE Journal of Acoustics, Speech, and Signal Processing (April 1987), 4-22.
25. Martin, D. Early warning of bank failure: a logit regression approach. Journal of Banking and Finance, 1, 3 (1977), 249-276.
26. Meyer, P.A., and Pifer, H.W. Prediction of bank failures. Journal of Finance, 25, 4 (September 1970), 853-868.
27. Navratil, F.J. The estimation of mortgage prepayment rates. Journal of Financial Research, 8, 2 (Summer 1985), 107-117.
28. Neter, J.; Wasserman, W.; and Kutner, M.H. Applied Linear Statistical Models. Home-wood, IL: Richard D. Irwin, 1985.
29. Pinkus, S.M.; Hunter, S.M.; and Roll, R. An introduction to the market and mortgage analysis. In F.J. Fabozzi and T.D. Garlicki (eds.). Advances in Bond Analysis & Portfolio Strategies. Chicago: Probus Publishing, 1987.
30. Richard, S.F., and Roll, R. Prepayments on fixed-rate mortgage-backed securities. Journal of Portfolio Management (Spring 1989), 73-82.
31. Salchenberger, L.M.; Cinar, E.M.; and Lash, N.A. Neural network: a new tool for predicting thrift failures. Decision Sciences, 23, 4 (July-August 1992), 899-916.
32. Salomon Brothers, Inc. Mortgage Security Prepayment Rate Profile, D. Walsh and M. Beveridge (eds.). Various issues beginning in April 1987, ending in February 1990.
33. Schmerken, I. Software to ride out interest-rate turbulence. Wall Street Computer Review (March 1990).
34. Schmerken, I. Wall Street struggles to balance global risk. Wall Street Computer Review (August 1990).
35. Shale, T. The great risk management systems failure. Euromoney (February 1989).
36. Tarn, K.Y., and Kiang, M.Y. Managerial applications of neural networks: the case of bank failure predictions. Management Science, 38, 7 (July 1992), 926-947.
37. Waldman, M., and Gordon, M. Determining the yield of a mortgage security. In F.J. Fabozzi (ed.), The Handbook of Mortgage-Backed Securities. Chicago: Probus Publishing, 1985.
38. Wasserman, P.D. Neural Computing. New York: Van Nostrand Reinhold, 1989.
39. White, H. Consequences and detection of misspecified non-linear regression models. Journal of the American Statistical Association, 16, 374 (June 1981), 419-433.
40. White, H. Economic prediction using neural networks: the case of IBM daily stock returns. Proceedings of Second IEEE International Conference on Neural Nets, 1988, San Diego,II-451:II-458.