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Forecasting Corporate Distress in the Asian and Pacific Region

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Author Info

  • Russ Moro
  • Wolfgang Härdle
  • Saeideh Aliakbari
  • Linda Hoffmann

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.

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File URL: http://sfb649.wiwi.hu-berlin.de/papers/pdf/SFB649DP2011-023.pdf
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Bibliographic Info

Paper provided by Sonderforschungsbereich 649, Humboldt University, Berlin, Germany in its series SFB 649 Discussion Papers with number SFB649DP2011-023.

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Length: 40 pages
Date of creation: May 2011
Date of revision:
Handle: RePEc:hum:wpaper:sfb649dp2011-023

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Keywords: Credit risk; Bankruptcy; Asian companies; SVM;

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