Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/19777 
Kompletter Metadatensatz
DublinCore-FeldWertSprache
dc.contributor.authorHärdle, Wolfgang Karlen
dc.contributor.authorMoro, Rouslan A.en
dc.contributor.authorSchäfer, Dorotheaen
dc.date.accessioned2009-01-28T16:05:40Z-
dc.date.available2009-01-28T16:05:40Z-
dc.date.issued2007-
dc.identifier.urihttp://hdl.handle.net/10419/19777-
dc.description.abstractThis 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.en
dc.language.isoengen
dc.publisher|aDeutsche Bundesbank |cFrankfurt a. M.en
dc.relation.ispartofseries|aDiscussion Paper Series 2 |x2007,18en
dc.subject.jelC45en
dc.subject.jelG33en
dc.subject.jelC14en
dc.subject.ddc330en
dc.subject.keywordBankruptcyen
dc.subject.keywordCompany ratingen
dc.subject.keywordDefault probabilityen
dc.subject.keywordSupport vector machinesen
dc.subject.stwKreditwürdigkeiten
dc.subject.stwKonkursen
dc.subject.stwPrognoseverfahrenen
dc.subject.stwSupport Vector Machineen
dc.subject.stwTheorieen
dc.subject.stwDeutschlanden
dc.titleEstimating probabilities of default with support vector machines-
dc.typeWorking Paperen
dc.identifier.ppn556818253en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:zbw:bubdp2:6930en

Datei(en):
Datei
Größe
689.63 kB





Publikationen in EconStor sind urheberrechtlich geschützt.