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Forecasting corporate distress in the Asian and Pacific region

Moro, Russ; Härdle, Wolfgang; Aliakbari, Saeideh; … - 2011

true across different years. -- Credit risk ; Bankruptcy ; Asian companies ; SVM …

Persistent link: https://www.econbiz.de/10009125559

Default risk calculation based on predictor selection for the Southeast Asian industry

Härdle, Wolfgang; Prastyo, Dedy Dwi - 2013

Probability of default prediction is one of the important tasks of rating agencies as well as of banks and other financial companies to measure the default risk of their counterparties. Knowing predictors that significantly contribute to default prediction provides a better insight into...

Persistent link: https://www.econbiz.de/10009779289

Localising forward intensities for multiperiod corporate default

Prastyo, Dedy Dwi; Härdle, Wolfgang - 2014

Using a local adaptive Forward Intensities Approach (FIA) we investigate multiperiod corporate defaults and other delisting schemes. The proposed approach is fully datadriven and is based on local adaptive estimation and the selection of optimal estimation windows. Time-dependent model...

Persistent link: https://www.econbiz.de/10010403045

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

Estimation of default probabilities with Support Vector Machines

Chen, Shiyi (contributor); Härdle, Wolfgang (contributor); … - 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 … ; Bankruptcy ; Default Probabilities Prediction ; Expected Profitability ; CAPM …

Persistent link: https://www.econbiz.de/10003402291

Forecasting corporate distress in the Asian and Pacific region

Moro, Russ; Härdle, Wolfgang; Aliakbari, Saeideh; … - 2011

Persistent link: https://www.econbiz.de/10009231331

Simultaneous confidence corridors and variable selection for generalized additive models

Zheng, Shuzhuan; Liu, Rong; Yang, Lijian; Härdle, Wolfgang - 2014

In spite of the widespread use of generalized additive models (GAMs), there is no well established methodology for simultaneous inference and variable selection for the components of GAM. There is no doubt that both, inference on the marginal component functions and their selection, are...

Persistent link: https://www.econbiz.de/10010230559

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

Estimation of Default Probabilities with Support Vector Machines

Chen, Shiyi; Härdle, Wolfgang; Moro, Rouslan - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2006

Persistent link: https://www.econbiz.de/10005677958

Learning machines supporting bankruptcy prediction

Härdle, Wolfgang; Moro, Rouslan; Hoffmann, Linda - 2010

by allowing them to be more aware of their risk when lending money. -- Support Vector Machine ; Bankruptcy ; Default …

Persistent link: https://www.econbiz.de/10003973650