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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

Business closure and financial loss: Who foots the bill? Evidence from German small business closures

Metzger, Georg - Zentrum für Europäische Wirtschaftsforschung (ZEW) - 2010

This paper explores how different reasons for business closure impact the probability that financial loss will be suffered by creditors. Using German small business data, the study finds that business closure due to financial problems is strongly correlated with a likelihood of financial loss....

Persistent link: https://www.econbiz.de/10008494185

Bankruptcy and Voluntary Liquidation: Evidence for New Firms in East and West Germany after Unification

Prantl, Susanne - Zentrum für Europäische Wirtschaftsforschung (ZEW) - 2003

and West Germany, I find distinct education and size effects and a higher share of bankruptcy-related liquidations in East …

Persistent link: https://www.econbiz.de/10005097747

Afterlife: Who Takes Heart for Restart?

Metzger, Georg - Zentrum für Europäische Wirtschaftsforschung (ZEW) - 2006

percent of novice entrepreneurs who file for bankruptcy reestablish afterwards. On average, slightly more than 15 months will …

Persistent link: https://www.econbiz.de/10005098153

R&D and Firm Performance in a Transition Economy

Czarnitzki, Dirk; Kraft, Kornelius - Zentrum für Europäische Wirtschaftsforschung (ZEW) - 2006

We estimate the effects of R&D on firms' credit ratings and on financial distress. The main purpose is the comparison of firms in Western Germany and Eastern Germany as a transitional economy. Innovative activity has a positive impact on firm value proxied by ratings in Western Germany, but a...

Persistent link: https://www.econbiz.de/10005098291

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

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

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

Bankruptcy law, capital allocation, and aggregate effects: a dynamic heterogeneous agent model with incomplete markets

Zha, Tao - Federal Reserve Bank of Atlanta - 1995

Under the assumption that asset markets are incomplete, this paper introduces bankruptcy in an intertemporal … argues that intervention in the form of a level of bankruptcy exemption can enhance not only social welfare but also … distributive equity. The bankruptcy law is carefully specified in the model. The model generates distributional changes in …

Persistent link: https://www.econbiz.de/10005401865

Socially excessive bankruptcy costs and the benefits of interest rate ceilings on loans

Espinosa-Vega, Marco A.; Smith, Bruce D. - Federal Reserve Bank of Atlanta - 2001

general equilibrium model. Binding ceilings on loan rates reduce the probability of bankruptcy. Lower bankruptcy rates result … in lower bankruptcy and liquidation costs. The authors state conditions under which the resources freed by this cost …

Persistent link: https://www.econbiz.de/10005402001