In recent years, support vector regression (SVR), a novel neural network (NN) technique, has been successfully used for financial forecasting. This paper deals with the application of SVR in volatility forecasting. Based on a recurrent SVR, a GARCH method is proposed and is compared with a...

In recent years support vector regression (SVR), a novel neural network (NN) technique, has been successfully used for financial forecasting. This paper deals with the application of SVR in volatility forecasting. Based on a recurrent SVR, a GARCH method is proposed and is compared with a moving...

During the last years the lending business has come under considerable competitive pressure and bank managers often express concern regarding its profitability vis-a-vis other activities. This paper tries to empirically identify factors that are able to explain the financial performance of bank...

We show that laws and institutions that strengthen creditor protection increase expected recovery rates on collateral using unique internal bank data on ex-ante appraised liquidation values and market values of assets pledged as collateral from secured loans in 16 countries. Stronger creditor...

We show that laws and institutions that grant creditors stronger enforcement rights and bargaining power upon default increase expected recovery rates on collateral. Using unique data that provides ex-ante appraised liquidation values on secured loans for a single global bank, we estimate...

Using a large panel of US banks over the period 2008-2013, this paper proposes an early warning framework to identify bank heading to bankruptcy. We conduct a comparative analysis based on both Canonical Discriminant Analysis and Logit models to examine and to determine the most accurate one....

In view of the failure of high profile companies like Circuit City and Linens n Things, Financial distress or bankruptcy prediction has generated much interest recently. This research develops and tests a model for the prediction of bankruptcy of retail firms. We use accounting variables such as...

This study is intended to identify the predictors of financial distress for the Pakistani firms. Variables used are the financial ratios representing profitability, liquidity, leverage, and cash flows, as well as two important market factors which are size and idiosyncratic standard deviation of...

Predicting corporate failure is an important problem in management science. This study tests a new method for predicting corporate failure on a sample of Spanish firms. A GRASP (Greedy Randomized Adaptive Search Procedure) strategy is proposed to use a feature selection algorithm to select a...