The purpose of this work is to introduce one of the most promising among recently developed statistical techniques – the support vector machine (SVM) – to corporate bankruptcy analysis. An SVM is implemented for analysing such predictors as financial ratios. A method of adapting it to default probability estimation is proposed. A survey of practically applied methods is given. This work shows that support vector machines are capable of extracting useful information from financial data, although extensive data sets are required in order to fully utilize their classification power.
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Paper provided by Sonderforschungsbereich 649, Humboldt University, Berlin, Germany in its series SFB 649 Discussion Papers with number
SFB649DP2005-009.
Find related papers by JEL classification: C40 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - General G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
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