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Probability Bankruptcy Using Support Vector Regression Machines

Author

Listed:
  • Adler Haymans Manurung
  • Derwin Suhartono
  • Benny Hutahayan
  • Noptovius Halimawan

Abstract

Bankruptcy is a decision made by a court after examining the assets and liabilities of individuals even businesses in which they are not able to pay their bills. Due to the importance of prevent bankruptcy to be happened in such business, a calculation which can predict probability bankruptcy is necessary. This paper aims to investigate probability bankruptcy using Support Vector Regression. There are 6 variables for 2016 to 2018 period coming from 17 coal mining companies from Indonesia. The model built by using Support Vector Regression indicates a good performance because it has the highest coefficient of determination compared to previous research. Â JEL classification numbers: C23, C33, C63, E37, G17, G33, L72.

Suggested Citation

  • Adler Haymans Manurung & Derwin Suhartono & Benny Hutahayan & Noptovius Halimawan, 2023. "Probability Bankruptcy Using Support Vector Regression Machines," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 13(1), pages 1-3.
    • Handle: RePEc:spt:apfiba:v:13:y:2023:i:1:f:13_1_3
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    References listed on IDEAS

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    More about this item

    Keywords

    Probability Bankruptcy; Coal Mining; Support Vector Regression; Mean Square Error; Mean Absolute Error; Coefficient of Determination; Financial Ratio.;
    All these keywords.

    JEL classification:

    • C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
    • C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Spatio-temporal Models
    • C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
    • E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
    • G33 - Financial Economics - - Corporate Finance and Governance - - - Bankruptcy; Liquidation
    • L72 - Industrial Organization - - Industry Studies: Primary Products and Construction - - - Mining, Extraction, and Refining: Other Nonrenewable Resources

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