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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
In the era of Basel II a powerful tool for bankruptcy prognosis is vital for banks. The tool must be precise but also easily adaptable to the bank's objections regarding the relation of false acceptances (Type I error) and false rejections (Type II error). We explore the suitabil- ity of Smooth...
Persistent link: https://www.econbiz.de/10005207945
Graphical data representation is an important tool for model selection in bankruptcy analysis since the problem is highly non-linear and its numerical representation is much less transparent. In classical rating models a convenient representation of ratings in a closed form is possible reducing...
Persistent link: https://www.econbiz.de/10005489953
The purpose of this work is to introduce one of the most promising among recently developed statistical techniques – the support vector machine (SVM) – to corporate bankruptcy analysis. An SVM is implemented for analysing such predictors as financial ratios. A method of adapting it to...
Persistent link: https://www.econbiz.de/10005489966