Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/19777 
Erscheinungsjahr: 
2007
Schriftenreihe/Nr.: 
Discussion Paper Series 2 No. 2007,18
Verlag: 
Deutsche Bundesbank, Frankfurt a. M.
Zusammenfassung: 
This 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.
Schlagwörter: 
Bankruptcy
Company rating
Default probability
Support vector machines
JEL: 
C45
G33
C14
Dokumentart: 
Working Paper

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