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Title:Forecasting corporate distress in the Asian and Pacific region PDF Logo
Authors:Moro, Russ
Härdle, Wolfgang
Aliakbari, Saeideh
Hoffmann, Linda
Issue Date:2011
Series/Report no.:SFB 649 discussion paper 2011-023
Abstract:This study analyses credit default risk for firms in the Asian and Pacific region by applying two methodologies: a Support Vector Machine (SVM) and a logistic regression (Logit). Among different financial ratios suggested as predictors of default, leverage ratios and the company size display a higher discriminating power compared to others. An analysis of the dependencies between PD and financial ratios is provided along with a comparison with Europe (Germany). With respect to forecasting accuracy the SVM has a lower model risk than the Logit on average and displays a more robust performance. This result holds true across different years.
Subjects:credit risk
bankruptcy
Asian companies
SVM
JEL:C14
G33
C45
Document Type:Working Paper
Appears in Collections:SFB 649 Discussion Papers, HU Berlin

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