Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/56688 
Year of Publication: 
2011
Series/Report no.: 
SFB 649 Discussion Paper No. 2011-023
Publisher: 
Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk, Berlin
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

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