Support Vector Machines (SVM) as a Technique for Solvency Analysis
This paper introduces a statistical technique, Support Vector Machines (SVM), which is considered by the Deutsche Bundesbank as an alternative for company rating. A special attention is paid to the features of the SVM which provide a higher accuracy of company classification into solvent and insolvent. The advantages and disadvantages of the method are discussed. The comparison of the SVM with more traditional approaches such as logistic regression (Logit) and discriminant analysis (DA) is made on the Deutsche Bundesbank data of annual income statements and balance sheets of German companies. The out-of-sample accuracy tests confirm that the SVM outperforms both DA and Logit on bootstrapped samples.
|Date of creation:||2008|
|Date of revision:|
|Contact details of provider:|| Postal: |
Web page: http://www.diw.de/enEmail:
More information through EDIRC
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Wolfgang K. HÃ¤rdle & Rouslan A. Moro & Dorothea SchÃ¤fer, 2004. "Support Vector Machines: eine neue Methode zum Rating von Unternehmen," DIW Wochenbericht, DIW Berlin, German Institute for Economic Research, vol. 71(49), pages 759-765.
- Engelmann, Bernd & Hayden, Evelyn & Tasche, Dirk, 2003. "Measuring the Discriminative Power of Rating Systems," Discussion Paper Series 2: Banking and Financial Studies 2003,01, Deutsche Bundesbank, Research Centre.
- Wolfgang K. HÃ¤rdle & Rouslan A. Moro & Dorothea SchÃ¤fer, 2004. "Rating Companies with Support Vector Machines," Discussion Papers of DIW Berlin 416, DIW Berlin, German Institute for Economic Research.
When requesting a correction, please mention this item's handle: RePEc:diw:diwwpp:dp811. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Bibliothek)
If references are entirely missing, you can add them using this form.