We propose a support vector machine (SVM)-based structural model to forecast the collapse of banking institutions in the USA using publicly disclosed information from their financial statements on a four-year rolling window. In our approach, the optimum input variable set is defined from a large...

Aggregate financial conditions indices (FCIs) are constructed to fulfil two aims: (i) The FCIs should resemble non-model-based composite indices in that their composition is adequately invariant for concatenation during regular updates; (ii) the concatenated FCIs should outperform financial...