In this paper we adopt a principal components analysis (PCA) to reduce the dimensionality of the term structure and employ autoregressive models (AR) to forecast principal components which, in turn, are used to forecast swap rates. Arguing in favor of structural variation, we propose data...

The purpose of this work is to introduce one of the most promising among recentlydeveloped statistical techniques – the support vector machine (SVM) –to corporate bankruptcy analysis. An SVM is implemented for analysing suchpredictors as financial ratios. A method of adapting it to default...