Artificial Neural Network Methodology In Fraud Risk Prediction On Financial Statements; An Emprical Study In Banking Sector

Credit risk is among the foremost risk factors that banks may encounter. Banking function is rendering credits. In rendering commercial credits based on fraudulent financial statements, credit risk can occur if banks cannot ensure the repayments of credits completely or partially. This case lead to an important problem for banks. The accuracy and reliability of information provided by financial statements are of crucial importance in credit risk management. In this context, main purpose of this study is to make it possible to predict fraud risk in financial statements. By doing so, it is possible prevent credit risk that may emerge in banks. In this study, to predict and determine fraud risk in financial statements, artificial neural network (ANN) methodology is utilized. This research includes commercial and corporate customers of banks. Financial data of 289 firms, belonging to the year of 2007, (97 firms were assumed to have fraudulent financial statements and 192 firms were in control group) was analyzed, and an ANN model is proposal. The proposal model that was developed is highly successful in predicting fraud risk in financial statements with an accuracy ratio of 90%.

___

Albrecht, S., Romney, M. (1986). "Red-Flagging Management: a Validation", Advances in Accounting, Vol. 3, pp.32-33.

Apastolou, B., Hassell, J. M., Webber, S. A. (2001). "Management Fraud Risk Factors: Ratings by Forensic Experts", the CPA Journal, 71 (10), pp. 48-52

Arens, A., Loebbecke J. (1994). Auditing: An Integrated Approach, 6th Ed, Englewood Cliffs, and NJ: Prentice-Hall.

Ata, H. A., Seyrek, İ. H. (2009). "The Use of Data Mining Techniques in Detecting Fraudulent Financial Statements: An Applicatıon on Manufacturing Firms", Süleyman Demirel Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, Cilt: 14, Sayı: 2, ss.157-170

BDDK, (2013). Türk Bankacılık Sektörü Genel Görünümü, BDDK Yayınları, İstanbul

Beasley, M. (1996). "An Empirical Analysis of the Relation Between Board of Director Composition and Financial Statement Fraud", Accounting Review, 71(4), pp.443- 66.

Bell, T., Szykowny, S., Willingham, J. (1993). "Assessing the Likelihood of Fraudulent Financial Reporting: a Cascaded Logic Approach", Working Paper, KPMG Peat Marwick, Montvale, NJ.

Beneish, M. D. (1997). "Detecting GAAP Violation: Implications for Assessing Earnings Management Among Firms with Extreme Financial Performance", Journal of Accounting and Public Policy, Vol:16, No: 3, pp. 271-309

Beneish, M. D. (1999). "The Detection of Earnings Manipulation", Financial Analysts Journal, Vol:55, No:5, pp. 24-36

Bologna, G., Lindquist R., Wells J. (1996). The Accountant's Handbook of Fraud and Commercial Crime. New York: John Wiley.

Braiotta, L. (2004). Audit Committee Handbook, John Wiley & Sons, New Jearsy/USA.

Chen, W. S., Du, Y. K. (2009). "Using Neural Networks and Data Mining Techniques for the Financial Distress Prediction Model". Expert Systems with Applications, Vol: 36, pp. 4075-4086

Clarence, N., Tan, W. (1997). An Artificial Neural Networks Primer with Financial Applications Examples in Financial Distress Predictions and Foreign Exchange Hybrid Trading System, Bond University, Avusturalya.

Davia, H., Coggins, P., Wideman, J., Kastantin, J. (1992). Management Accountant's Guide to Fraud Discovery and Control. New York: John Wiley.

Elliott, R. K., Willingham, J. J. (1980). Management Fraud: Detection and Deterrence, Petrocelli Boks, New York.

Fausett, L. (1994). Fundamentals of Neural Networks: Architectures, Algorithms and Applications, Prentice Hall, New York.

Green, B. P., Choi, J. H. (1997). "Assessing the Risk of Management Fraud Through Neural Network Technology", Auditing: A Journal of Practice and Theory, 16(1), pp. 14-28.

Hoffman, V. B. (1997). "Discussion of the Effects of SAS No. 82 on Auditors' Attention to Fraud Risk-Factors and Audit Planning Decisions", Journal of Accounting Research, 35(5), pp. 99-104.

Hollman, V. P., Patton, J. M. (1997). "Accountability, the Dilution Effect and Conservatism in Auditors' Fraud Judgments", Journal of Accounting Research, 35(2), pp. 227-37.

Humpherys, S. L., Moffitt, K. C., Burns, M. B., Burgoon, J. K., Felix, W. F. (2011). "Identification of Fraudulent Financial Statements Using Linguistic Credibility Analysis", Decision Support Systems, Vol. 50, pp. 585-594

Jackson, L. M. (1999). Efforts to Combat Health Care Fraud: A Study of NYSE Listed Health Care Service Companies, Pace University, UK.

Kirkos, E., Spathis, C., Monolopoulos, Y. (2007). "Data Mining Techniques for The Detection of Fraudulent Financial Statements". Expert Systems with Applications, Vol: 32, pp. 995-1003

KPMG, (2004). Fraud Survey, KPMG, Australia.

Küçükkocaoğlu, G., Küçüksözen, C. (2004). "Gerçeğe Aykırı Finansal Tabloların Ortaya Çıkarılması: İMKB Şirketleri Üzerine Ampirik Bir Çalışma", Muhasebe ve Finansman Dergisi.

Küçükkocaoğlu, G., Benli, Y. K., Küçüksözen, C. (2007). "Finansal Bilgi Manipülasyonunun Tespitinde Yapay Sinir Ağı Modelinin Kullanımı", İMKB Dergisi, Yıl:9, Sayı:36, İstanbul, ss.1-30

Küçüksözen, C., Küçükkocaoğlu, G. (2004). "Finansal Bilgi Manipülasyonu: İMKB Şirketleri Üzerine Aprik Bir Çalışma", MÖDAV Uluslararası Muhasebe Konferansı'nda Sunulan Tebliğ, 03-05 Kasım 2004, İstanbul, ss.1-58

Loebbecke, J., Eining, M., Willingham, J. (1989). "Auditor's Experience with Material Irregularities: Frequency, Nature, and Detectability", Auditing: A Journal of Practice and Theory, Vol. 9, pp. 1-28.

Madura, J. (2004). What Every Investor Needs to Know About Accounting Fraud, McGraw Hill Company, New Jearsy.

McKee, T. E. (2005). Earnings Management: An Executive Perspective, Thomson Corporation, USA.

Ngai, E. W. T., Hu, Y., Wong, Y. H., Chen, Y., Sun, X. (2011). "The Application Of Data Mining Techniques in Financial Fraud Detection: A Classification Framework and an Academic Review of Literature", Decision Support Systems, Vol. 50, pp. 559-569

Palmrose, Z. (1987). "Litigation and Independent Auditors: the Role of Business Failures and Management Fraud", Auditing: A Journal of Practice and Theory, 6(2), pp. 90-102.

Perols, J. L., Lougee, B. A. (2010). "The Relation Between Earnings Management and Financial Statement Fraud", Advances in Accounting, Incorporating Advances in International Accounting, pp. 1-15

Ravisankar, P., Ravi, V., Rao, G. R., Bose, I. (2011). "Detection of Financial Statement Fraud and Feature Selection Using Data Mining Techniques", Decision Support Systems, Vol. 50, pp. 491-500

Raol, J. R, Mankame, S. S. (1996). "Artificial Neural Network; A Brief Introduction", Resonance, February, pp. 47-54

Rezaee, Z. (2002). Financial Statement Fraud; Prevention and Detection, John Wiley & Sons, Inc., New York.

Rezaee, Z. (2005). "Causes, Consequences and Deterence of Financial Statement Fraud", Critical Perspectives on Accounting, 16 (3), pp.277-298.

Rud, O. P. (2001). Data Mining Cookbook; Modeling Data for Marketing, Risk, and Customer Relationship Management, John Wiley & Sons, Inc., New York.

Schilit, H. (1993). Financial Shenanigans: How to Detect Accounting Gimmicks and Fraud in Financial Reports. New York: McGraw-Hill.

Spathis, C. T. (2002). "Detecting False Financial Statements Using Published Data: Some Evidence From Greece", Managerial Auditing Journal, Vol: 17, No: 4, pp. 179-191

Spathis, C. T., Doumpos, M., Zopounidis, C. (2004). "Detecting Falsified Financial Statements: A Comparative Study Using Multicriteria Analysis and Multivariate Statistical Techniques", The European Accounting Review, Vol: 11, No: 3, pp. 509-535

Stice, J. (1991). "Using Financial and Market Information to Identify Pre-engagement Market Factors Associated with Lawsuits Against Auditors"', Accounting Review, 66(3), pp. 516-33.

Ugrin, J. C., Odom, M. D. (2010). "Exploring Sarbanes-Oxley's Effect on Attitudes, Perceptions of Norms, and Intentions to Commit Financial Statement Fraud From A General Deterrence Perspective", J. Account Public Policy, Vol. 29, ss. 439- 458

Wells, J. T. (2004). Corporate Fraud Handbook; Prevention and Detection, John Wiley&Sons, New Jersey.

Yıldız, B., Akkoç, S. (2009). "Banka Finansal Başarısızlıklarının Sinirsel Bulanık Ağ Yöntemi ile Öngörüsü", BDDK Bankacılık ve Finansal Piyasalar, Cilt: 3, Sayı: 1, ss. 9-36

Zhou, W., Kappor, G. (2011). "Detecting Evolutionary Financial Statement Fraud", Decision Support Systems, Vol. 50, pp. 570-575

Zimbelman, M. F. (1997). "The Effects of SAS No. 82 on Auditors' Attention to Fraud Risk Factors and Audit Planning Decisions", Journal of Accounting Research, 35(5), pp. 5-9.
İşletme Araştırmaları Dergisi-Cover
  • ISSN: 1309-0712
  • Yayın Aralığı: Yılda 4 Sayı
  • Başlangıç: 2009
  • Yayıncı: Melih Topaloğlu
Sayıdaki Diğer Makaleler

Personel Güçlendirmesi ve Yönetici Desteğinin İş Memnuniyeti Üzerindeki Etkisi: Enerji Sektöründe Bir Uygulama

ALİ KEMAL CEYLAN, Gaye MAT ÇELİK, Abdurrahim EMHAN

Franchising Sistemi Uygulanan Fast Food İşletmelerinde Örgütsel Bağlılık: Denizli Örneği

ONUR GÖRKEM

TMS- 40 "Yatırım lı Gayrimenkuller" Standardına Göre Halka Açık Gayrimenkul Yatırım Ortaklıklarının Yatırım lı Gayrimenkullerini Değerleme Politikalarının İncelenmesi

EMİNE ÇINA BAL

Linking Core Competence, Innovation and Firm Performance

ÖZNUR GÖKKAYA, Gönül Kaya ÖZBAĞ

Kuşakların Yönetim Politikası Beklentilerinin Araştırılması

HARUN DEMİRKAYA, ALİ AKDEMİR, Engin KARAMAN, ÖZLEM ATAN TARLACI

Üniversite Öğrencilerinin Akademisyen ve Ebeveyn Etkileşimleri Işığında Liderlik Modeli Belirlenmesinde Karizma ve Entelektualite Etkisinin Araştırılması

GÖNÜL KONAKAY, ALİ AKDEMİR, Banu ERGEN, Ahmet Barış SOLMAZTÜRK, ALPER GÜRER, Fatih AKTÜRK, Oktay GÖKDEMİR, Ömer YAMAÇ, Selçuk SEZEN, Sinem YAVUZ, Uğur TIN

İş-Aile/Aile-İş Çatışması ile Mücadele Etmenin Bir Yolu Olarak Sosyal Zekanın Keşfedilmesi Üzerine Bir Araştırma

AYSUN KANBUR

Algılanan Örgütsel Destek, Örgütsel Özdeşleşme ve Yönetici Etik Davranışı İlişkisi: Araştırma Görevlilerine Yönelik Araştırma

ALPTEKİN SÖKMEN, EMRE BURAK EKMEKÇİOĞLU, KAMİL ÇELİK

Türkiye Turizmi Bağlamında Ortadoğu Pazarı Üzerine Bir Araştırma

YAŞAR SARI, GÜLSÜN YILDIRIM

Etik Liderlik Davranışlarının Algılanan Örgüt İklimi Üzerine Etkisine Yönelik Bir Uygulama: İş Yaşamında Yalnızlık Duygusunun Aracılık Etkisi

KEMAL EROĞLUER, ÖZER YILMAZ