Narrow search
Showing 1 - 10 of 20
Cover Image
Estimating Probabilities of Default With Support Vector Machines
Härdle, Wolfgang; Moro, Rouslan; Schäfer, Dorothea - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2007
This paper proposes a rating methodology that is based on a non-linear classification method, the support vector machine, and a non-parametric technique for mapping rating scores into probabilities of default. We give an introduction to underlying statistical models and represent the results of...
Persistent link: https://www.econbiz.de/10005207929
Cover Image
The river sharing problem: A review of the technical literature for policy economists
Beard, Rodney - Volkswirtschaftliche Fakultät, … - 2011
over-allocated. Demand for water exceeds the available supply. Essentially, the water economy is bankrupt. Bankruptcy … of the paper is that the connection between the bankruptcy literature, which has recently also realized the importance of …
Persistent link: https://www.econbiz.de/10009353530
Cover Image
Coordinated failure? a cross-country bank failure prediction model
Santoso, Wimboh; Montgomery, Heather; Besar, Dwityapoetra; … - Volkswirtschaftliche Fakultät, … - 2005
This paper empirically investigates the causes of bank failures in Japan and Indonesia. Using logistic regression analysis of financial ratios, we explore the usefulness of domestic bank failure prediction models with a cross-country model that allows for cross-correlation of the error terms....
Persistent link: https://www.econbiz.de/10009278271
Cover Image
The financial leverage of Insurers subject to price regulation: evidence from Canada
Strauss, Jason David - Volkswirtschaftliche Fakultät, … - 2008
The variation in the degree of price regulation in the property-liability insurance market in Canada varies across time and space, creating an opportunity to test a recurring theory in regulatory economics: that price regulated firms have higher levels of financial leverage. Using an...
Persistent link: https://www.econbiz.de/10005837467
Cover Image
Price Regulation, Market Exit, and Financial Leverage of Canadian Property-Liability Insurers
Strauss, Jason - Volkswirtschaftliche Fakultät, … - 2007
regulators. Prior research suggests that firms increase their financial leverage, and thus their probability of bankruptcy and … expected bankruptcy costs, in order to mitigate the severity of binding price ceilings. Although financial leverage can be … insurers as well as the probability of bankruptcy, the non-selection probability. …
Persistent link: https://www.econbiz.de/10005837519
Cover Image
Estimation of Default Probabilities with Support Vector Machines
Chen, Shiyi; Härdle, Wolfgang; Moro, Rouslan - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2006
specific risks. There are many reasons to use nonlinear techniques for predicting bankruptcy from financial ratios. Here we … the Creditreform database. The results reveal that the most important eight predictors related to bankruptcy for these …
Persistent link: https://www.econbiz.de/10005677958
Cover Image
Learning Machines Supporting Bankruptcy Prediction
Härdle, Wolfgang Karl; Moro, Rouslan; Hoffmann, Linda - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2010
In many economic applications it is desirable to make future predictions about the financial status of a company. The focus of predictions is mainly if a company will default or not. A support vector machine (SVM) is one learning method which uses historical data to establish a classification...
Persistent link: https://www.econbiz.de/10008568137
Cover Image
Forecasting Corporate Distress in the Asian and Pacific Region
Moro, Russ; Härdle, Wolfgang; Aliakbari, Saeideh; … - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2011
This study analyses credit default risk for firms in the Asian and Pacific region by applying two methodologies: a Support Vector Machine (SVM) and a logistic regression (Logit). Among different financial ratios suggested as predictors of default, leverage ratios and the company size display a...
Persistent link: https://www.econbiz.de/10009021755
Cover Image
Modeling Bankruptcy Prediction for Non-Financial Firms: The Case of Pakistan
Abbas, Qaiser; Rashid, Abdul - Volkswirtschaftliche Fakultät, … - 2011
This paper aims to identify the financial ratios that are most significant in bankruptcy prediction for the non … examined for a five-year period prior bankruptcy. The discriminant analysis produced a parsimonious model of three variables …
Persistent link: https://www.econbiz.de/10008805859
Cover Image
Early warning mechanism of bankruptcy for investment companies
Staszkiewicz, Piotr W. - Volkswirtschaftliche Fakultät, … - 2013
The entire market of Polish financial broker-dealer was examined. The research was conducted on the first year of implementation of the capital requirements disclosure. There was identified a relation between accounting and supervisory disclosure requirements. A relation between audit opinions...
Persistent link: https://www.econbiz.de/10011108192