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Sonderforschungsbereich 649: Ökonomisches Risiko, Humboldt-Universität Berlin >
SFB 649 Discussion Papers, HU Berlin >
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http://hdl.handle.net/10419/56688
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| Title: | | Forecasting corporate distress in the Asian and Pacific region  |
| 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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