Estimating probabilities of default with support vector machines
Author
Abstract
Suggested Citation
Download full text from publisher
Other versions of this item:
- Härdle, Wolfgang Karl & Moro, Rouslan A. & Schäfer, Dorothea, 2007. "Estimating probabilities of default with support vector machines," Discussion Paper Series 2: Banking and Financial Studies 2007,18, Deutsche Bundesbank.
References listed on IDEAS
- Hashem Pesaran & Davide Pettenuzzo & Allan Timmermann, 2007.
"Learning, Structural Instability, and Present Value Calculations,"
Econometric Reviews, Taylor & Francis Journals, vol. 26(2-4), pages 253-288.
- Pesaran, Mohammad Hashem & Pettenuzzo, Davide & Timmermann, Allan, 2006. "Learning, structural instability and present value calculations," Discussion Paper Series 1: Economic Studies 2006,27, Deutsche Bundesbank.
- M. Hashem Pesaran & Davide Pettenuzzo & Allan Timmermann, 2006. "Learning, structural instability and present value calculations," Computing in Economics and Finance 2006 529, Society for Computational Economics.
- Hashem Pesaran & Davide Pettenuzzo & Allan Timmermann, 2006. "Learning, Structural Instability and Present Value Calculations," IEPR Working Papers 06.42, Institute of Economic Policy Research (IEPR).
- M. Hashem Pesaran & Davide Pettenuzzo & Allan Timmermann, 2006. "Learning, Structural Instability and Present Value Calculations," CESifo Working Paper Series 1650, CESifo.
- Pesaran, M.H. & Pettenuzzo, D. & Timmermann, A., 2006. "Learning, Structural Instability and Present Value Calculations," Cambridge Working Papers in Economics 0602, Faculty of Economics, University of Cambridge.
- Edward I. Altman, 1968. "Financial Ratios, Discriminant Analysis And The Prediction Of Corporate Bankruptcy," Journal of Finance, American Finance Association, vol. 23(4), pages 589-609, September.
- Taylor, Mark P. & Schmidt, Markus & Reitz, Stefan, 2007. "End-user order flow and exchange rate dynamics," Discussion Paper Series 1: Economic Studies 2007,05, Deutsche Bundesbank.
- Martin, Daniel, 1977. "Early warning of bank failure : A logit regression approach," Journal of Banking & Finance, Elsevier, vol. 1(3), pages 249-276, November.
- Ohlson, Ja, 1980. "Financial Ratios And The Probabilistic Prediction Of Bankruptcy," Journal of Accounting Research, Wiley Blackwell, vol. 18(1), pages 109-131.
- repec:rus:hseeco:318682 is not listed on IDEAS
- Strotmann, Harald & Döpke, Jörg & Buch, Claudia M., 2006. "Does trade openness increase firm-level volatility?," Discussion Paper Series 1: Economic Studies 2006,40, Deutsche Bundesbank.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Jakubik, Petr & Moinescu, Bogdan, 2015. "Assessing optimal credit growth for an emerging banking system," Economic Systems, Elsevier, vol. 39(4), pages 577-591.
- repec:hum:wpaper:sfb649dp2008-003 is not listed on IDEAS
- Natalia Nehrebecka, 2021. "Internal Credit Risk Models and Digital Transformation: What to Prepare for? An Application to Poland," European Research Studies Journal, European Research Studies Journal, vol. 0(Special 3), pages 719-736.
- Tyler Pike & Horacio Sapriza & Tom Zimmermann, 2019. "Bottom-up Leading Macroeconomic Indicators: An Application to Non-Financial Corporate Defaults using Machine Learning," Finance and Economics Discussion Series 2019-070, Board of Governors of the Federal Reserve System (U.S.).
- Wolfgang Härdle & Yuh-Jye Lee & Dorothea Schäfer & Yi-Ren Yeh, 2009. "Variable selection and oversampling in the use of smooth support vector machines for predicting the default risk of companies," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 28(6), pages 512-534.
- Wolfgang Härdle & Yuh-Jye Lee & Dorothea Schäfer & Yi-Ren Yeh, 2007.
"The Default Risk of Firms Examined with Smooth Support Vector Machines,"
Discussion Papers of DIW Berlin
757, DIW Berlin, German Institute for Economic Research.
- Härdle, Wolfgang Karl & Lee, Yuh-Jye & Schäfer, Dorothea & Yeh, Yi-Ren, 2008. "The default risk of firms examined with smooth support vector machines," SFB 649 Discussion Papers 2008-005, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Nehrebecka Natalia, 2018. "Predicting the Default Risk of Companies. Comparison of Credit Scoring Models: Logit Vs Support Vector Machines," Econometrics. Advances in Applied Data Analysis, Sciendo, vol. 22(2), pages 54-73, June.
- Zhang, Junni L. & Härdle, Wolfgang Karl, 2008. "The bayesian additive classification tree applied to credit risk modelling," SFB 649 Discussion Papers 2008-003, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- repec:hum:wpaper:sfb649dp2008-005 is not listed on IDEAS
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Zhou, Fanyin & Fu, Lijun & Li, Zhiyong & Xu, Jiawei, 2022. "The recurrence of financial distress: A survival analysis," International Journal of Forecasting, Elsevier, vol. 38(3), pages 1100-1115.
- Le, Hong Hanh & Viviani, Jean-Laurent, 2018.
"Predicting bank failure: An improvement by implementing a machine-learning approach to classical financial ratios,"
Research in International Business and Finance, Elsevier, vol. 44(C), pages 16-25.
- Hong Hanh Le & Jean-Laurent Viviani, 2018. "Predicting bank failure: An improvement by implementing machine learning approach on classical financial ratios," Post-Print halshs-01615106, HAL.
- Zeineb Affes & Rania Hentati-Kaffel, 2016. "Forecast bankruptcy using a blend of clustering and MARS model - Case of US banks," Post-Print halshs-01314553, HAL.
- Pablo de Llano Monelos & Manuel RodrÃguez López & Carlos Piñeiro Sánchez, 2013. "Bankruptcy Prediction Models in Galician companies. Application of Parametric Methodologies and Artificial Intelligence," International Journal of Economics & Business Administration (IJEBA), International Journal of Economics & Business Administration (IJEBA), vol. 0(1), pages 117-136.
- Nijskens, Rob & Mokas, Dimitris, 2019. "Credit Risk in Commercial Real Estate Bank Loans : The Role of Idiosyncratic versus Macro-Economic Factors," Other publications TiSEM ea4f2f0e-dc50-4987-91d3-6, Tilburg University, School of Economics and Management.
- Paramonovs Sergejs & Ijevleva Ksenija, 2015. "The Role of Marketing Tools in the Improvement of Consumers Financial Literacy," Acta Universitatis Sapientiae, Economics and Business, Sciendo, vol. 27(1), pages 40-45, December.
- repec:hum:wpaper:sfb649dp2013-037 is not listed on IDEAS
- Balios, Dimitris & Thomadakis, Stavros & Tsipouri, Lena, 2016. "Credit rating model development: An ordered analysis based on accounting data," Research in International Business and Finance, Elsevier, vol. 38(C), pages 122-136.
- Cao Son Tran & Dan Nicolau & Richi Nayak & Peter Verhoeven, 2021. "Modeling Credit Risk: A Category Theory Perspective," JRFM, MDPI, vol. 14(7), pages 1-21, July.
- Kick, Thomas & Koetter, Michael, 2007.
"Slippery slopes of stress: Ordered failure events in German banking,"
Journal of Financial Stability, Elsevier, vol. 3(2), pages 132-148, July.
- Koetter, Michael & Kick, Thomas, 2007. "Slippery slopes of stress: ordered failure events in German banking," Discussion Paper Series 2: Banking and Financial Studies 2007,03, Deutsche Bundesbank.
- Alexander Hölzl & Sebastian Lobe, 2016. "Predicting above-median and below-median growth rates," Review of Managerial Science, Springer, vol. 10(1), pages 105-133, January.
- Wolfgang Härdle & Yuh-Jye Lee & Dorothea Schäfer & Yi-Ren Yeh, 2009. "Variable selection and oversampling in the use of smooth support vector machines for predicting the default risk of companies," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 28(6), pages 512-534.
- Binder, Michael & Offermanns, Christian J., 2007.
"International investment positions and exchange rate dynamics: A dynamic panel analysis,"
CFS Working Paper Series
2007/23, Center for Financial Studies (CFS).
- Michael Binder & Christian J. Offermanns, 2007. "International Investment Positions and Exchange Rate Dynamics: A Dynamic Panel Analysis," CESifo Working Paper Series 2095, CESifo.
- Binder, Michael & Offermanns, Christian J., 2007. "International investment positions and exchange rate dynamics: a dynamic panel analysis," Discussion Paper Series 1: Economic Studies 2007,23, Deutsche Bundesbank.
- Loretan, Michael Stanislaus & Kurz-Kim, Jeong-Ryeol, 2007. "A note on the coefficient of determination in regression models with infinite-variance variables," Discussion Paper Series 1: Economic Studies 2007,10, Deutsche Bundesbank.
- repec:zbw:bofrdp:2009_035 is not listed on IDEAS
- Fayçal Mraihi, 2016. "Distressed Company Prediction Using Logistic Regression: Tunisian’s Case," Quarterly Journal of Business Studies, Research Academy of Social Sciences, vol. 2(1), pages 34-54.
- Anatoly Peresetsky & Alexandr Karminsky & Sergei Golovan, 2011.
"Probability of default models of Russian banks,"
Economic Change and Restructuring, Springer, vol. 44(4), pages 297-334, November.
- Peresetsky, Anatoly & Karminsky, Alexandr & Golovan, Sergei, 2004. "Probability of default models of Russian banks," BOFIT Discussion Papers 21/2004, Bank of Finland, Institute for Economies in Transition.
- Demyanyk, Yuliya & Hasan, Iftekhar, 2009. "Financial crises and bank failures: a review of prediction methods," Bank of Finland Research Discussion Papers 35/2009, Bank of Finland.
- repec:hum:wpaper:sfb649dp2008-005 is not listed on IDEAS
- Moro Russ A. & Härdle Wolfgang K. & Schäfer Dorothea, 2017. "Company rating with support vector machines," Statistics & Risk Modeling, De Gruyter, vol. 34(1-2), pages 55-67, June.
- Kolari, James & Glennon, Dennis & Shin, Hwan & Caputo, Michele, 2002. "Predicting large US commercial bank failures," Journal of Economics and Business, Elsevier, vol. 54(4), pages 361-387.
- Mohammad Mahdi Mousavi & Jamal Ouenniche & Kaoru Tone, 2023. "A dynamic performance evaluation of distress prediction models," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(4), pages 756-784, July.
- Kosuke Aoki & Takeshi Kimura, 2007.
"Uncertainty about Perceived Inflation Target and Monetary Policy,"
Bank of Japan Working Paper Series
07-E-16, Bank of Japan.
- Aoki, Kosuke & Kimura, Takeshi, 2007. "Uncertainty about perceived inflation target and monetary policy," Discussion Paper Series 1: Economic Studies 2007,18, Deutsche Bundesbank.
More about this item
Keywords
Bankruptcy; Company rating; Default probability; Support vector machines;All these keywords.
JEL classification:
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- G33 - Financial Economics - - Corporate Finance and Governance - - - Bankruptcy; Liquidation
- C45 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Neural Networks and Related Topics
NEP fields
This paper has been announced in the following NEP Reports:- NEP-BEC-2007-06-11 (Business Economics)
- NEP-ECM-2007-06-11 (Econometrics)
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:zbw:sfb649:sfb649dp2007-035. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: ZBW - Leibniz Information Centre for Economics (email available below). General contact details of provider: https://edirc.repec.org/data/sohubde.html .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.