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Analysis of the Predictors of Default for Portuguese Firms

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  • Ana Lacerda
  • Russ A.Moro
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    Abstract

    The paper presents an insolvency risk analysis of Portuguese companies with three techniques: logistic regression, discriminant analysis and support vector machines (SVM). It identifies the most critical predictors of default based on the accounting, employee and debt concentration data. A comparison of the three methods reveals a superiority of SVM. Non-financial information such as employee data and the debt concentration index appear to be strong predictors of default.

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    File URL: http://www.bportugal.pt/en-US/BdP%20Publications%20Research/WP200822.pdf
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    Bibliographic Info

    Paper provided by Banco de Portugal, Economics and Research Department in its series Working Papers with number w200822.

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    Date of creation: 2008
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    Handle: RePEc:ptu:wpaper:w200822

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