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http://dspace.mediu.edu.my:8181/xmlui/handle/10419/19777| Title: | Estimating probabilities of default with support vector machines |
| Keywords: | C45 G33 C14 ddc:330 Bankruptcy Company rating Default probability Support vector machines Kreditwürdigkeit Konkurs Prognoseverfahren Support Vector Machine Theorie Deutschland |
| Issue Date: | 16-Oct-2013 |
| Description: | 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 testing our approach on Deutsche Bundesbank data. In particular we discuss the selection of variables and give a comparison with more traditional approaches such as discriminant analysis and the logit regression. The results demonstrate that the SVM has clear advantages over these methods for all variables tested. |
| URI: | http://koha.mediu.edu.my:8181/xmlui/handle/10419/19777 |
| Other Identifiers: | http://hdl.handle.net/10419/19777 ppn:556818253 RePEc:zbw:bubdp2:6930 |
| Appears in Collections: | EconStor |
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