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EconStor >
Deutsches Institut für Wirtschaftsforschung (DIW), Berlin >
DIW-Diskussionspapiere >
Please use this identifier to cite or link to this item:
http://hdl.handle.net/10419/27334
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Full metadata record
| DC Field | | Value | | Language |
| dc.contributor.author | | Auria, Laura | | en_US |
| dc.contributor.author | | Moro, Rouslan A. | | en_US |
| dc.date.accessioned | | 2009-04-09 | | en_US |
| dc.date.accessioned | | 2009-08-06T13:20:16Z | | - |
| dc.date.available | | 2009-08-06T13:20:16Z | | - |
| dc.date.issued | | 2008 | | en_US |
| dc.identifier.uri | | http://hdl.handle.net/10419/27334 | | - |
| dc.description.abstract | | This paper introduces a statistical technique, Support Vector Machines (SVM), which is considered by the Deutsche Bundesbank as an alternative for company rating. A special attention is paid to the features of the SVM which provide a higher accuracy of company classification into solvent and insolvent. The advantages and disadvantages of the method are discussed. The comparison of the SVM with more traditional approaches such as logistic regression (Logit) and discriminant analysis (DA) is made on the Deutsche Bundesbank data of annual income statements and balance sheets of German companies. The out-of-sample accuracy tests confirm that the SVM outperforms both DA and Logit on bootstrapped samples. | | en_US |
| dc.language.iso | | eng | | en_US |
| dc.publisher | | Deutsches Institut für Wirtschaftsforschung (DIW) Berlin | | en_US |
| dc.relation.ispartofseries | | Discussion papers // German Institute for Economic Research 811 | | en_US |
| dc.subject.jel | | C13 | | en_US |
| dc.subject.jel | | G33 | | en_US |
| dc.subject.jel | | C45 | | en_US |
| dc.subject.ddc | | 330 | | en_US |
| dc.subject.keyword | | Company rating | | en_US |
| dc.subject.keyword | | bankruptcy analysis | | en_US |
| dc.subject.keyword | | support vector machines | | en_US |
| dc.subject.stw | | Kreditwürdigkeit | | en_US |
| dc.subject.stw | | Support Vector Machine | | en_US |
| dc.subject.stw | | Unternehmen | | en_US |
| dc.subject.stw | | Theorie | | en_US |
| dc.subject.stw | | Deutschland | | en_US |
| dc.title | | Support Vector Machines (SVM) as a technique for solvency analysis | | en_US |
| dc.type | | Working Paper | | en_US |
| dc.identifier.ppn | | 576821438 | | en_US |
| dc.rights | | http://www.econstor.eu/dspace/Nutzungsbedingungen | | - |
| Appears in Collections: | | Publikationen von Forscherinnen und Forschern des DIW DIW-Diskussionspapiere
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