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Title:Rating Companies with Support Vector Machines PDF Logo
Authors:Schäfer, Dirk
Moro, R. A.
Härdle, Wolfgang Karl
Issue Date:2004
Series/Report no.:DIW-Diskussionspapiere 416
Abstract:The goal of this work is to introduce one of the most successful among recently developed statistical techniques – the support vector machine (SVM) – to the field of corporate bankruptcy analysis. The main emphasis is done on implementing SVMs for analysing predictors in the form of financial ratios. A method is proposed of adapting SVMs to default probability estimation. A survey of practically and commercially applied methods is given. This work proves that support vector machines are capable of extracting useful information from financial data although extensive data sets are required in order to fully utilise their classification power.
Subjects:Support vector machines
Company rating
Default probability estimation
Document Type:Working Paper
Appears in Collections:DIW-Diskussionspapiere
Publikationen von Forscherinnen und Forschern des DIW

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