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Cost-sensitive business failure prediction when misclassification costs are uncertain: A heterogeneous ensemble selection approach

Author

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  • Koen W. de Bock

    (Audencia Business School)

  • Kristof Coussement

    (IESEG - School of Management (LEM), LEM - Lille économie management - UMR 9221 - UA - Université d'Artois - UCL - Université catholique de Lille - Université de Lille - CNRS - Centre National de la Recherche Scientifique)

  • Stefan Lessmann

    (HU Berlin - Humboldt-Universität zu Berlin = Humboldt University of Berlin = Université Humboldt de Berlin)

Abstract

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  • Koen W. de Bock & Kristof Coussement & Stefan Lessmann, 2020. "Cost-sensitive business failure prediction when misclassification costs are uncertain: A heterogeneous ensemble selection approach," Post-Print hal-02863245, HAL.
    • Handle: RePEc:hal:journl:hal-02863245
    DOI: 10.1016/j.ejor.2020.01.052
    Note: View the original document on HAL open archive server: https://hal.science/hal-02863245
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    References listed on IDEAS

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    1. Sun, Lili & Shenoy, Prakash P., 2007. "Using Bayesian networks for bankruptcy prediction: Some methodological issues," European Journal of Operational Research, Elsevier, vol. 180(2), pages 738-753, July.
    2. Kolay, Madhuparna & Lemmon, Michael & Tashjian, Elizabeth, 2016. "Spreading the Misery? Sources of Bankruptcy Spillover in the Supply Chain," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 51(6), pages 1955-1990, December.
    3. Viaene, Stijn & Dedene, Guido, 2005. "Cost-sensitive learning and decision making revisited," European Journal of Operational Research, Elsevier, vol. 166(1), pages 212-220, October.
    4. Bauer, Julian & Agarwal, Vineet, 2014. "Are hazard models superior to traditional bankruptcy prediction approaches? A comprehensive test," Journal of Banking & Finance, Elsevier, vol. 40(C), pages 432-442.
    5. Aykut Ekinci & Halil İbrahim Erdal, 2017. "Forecasting Bank Failure: Base Learners, Ensembles and Hybrid Ensembles," Computational Economics, Springer;Society for Computational Economics, vol. 49(4), pages 677-686, April.
    6. Balcaen, Sofie & Ooghe, Hubert, 2006. "35 years of studies on business failure: an overview of the classic statistical methodologies and their related problems," The British Accounting Review, Elsevier, vol. 38(1), pages 63-93.
    7. Edward I. Altman, 1968. "Financial Ratios, Discriminant Analysis And The Prediction Of Corporate Bankruptcy," Journal of Finance, American Finance Association, vol. 23(4), pages 589-609, September.
    8. Dimitras, A. I. & Zanakis, S. H. & Zopounidis, C., 1996. "A survey of business failures with an emphasis on prediction methods and industrial applications," European Journal of Operational Research, Elsevier, vol. 90(3), pages 487-513, May.
    9. Martin, Daniel, 1977. "Early warning of bank failure : A logit regression approach," Journal of Banking & Finance, Elsevier, vol. 1(3), pages 249-276, November.
    10. Michael Doumpos & Kostas Andriosopoulos & Emilios C. C Galariotis & Georgia Makridou & Constantin Zopounidis, 2017. "Corporate failure prediction in the European energy sector: A multicriteria approach and the effect of country characteristics," Post-Print hal-02879853, HAL.
    11. Edward I. Altman, 1968. "The Prediction Of Corporate Bankruptcy: A Discriminant Analysis," Journal of Finance, American Finance Association, vol. 23(1), pages 193-194, March.
    12. Ohlson, Ja, 1980. "Financial Ratios And The Probabilistic Prediction Of Bankruptcy," Journal of Accounting Research, Wiley Blackwell, vol. 18(1), pages 109-131.
    13. Doumpos, Michalis & Andriosopoulos, Kostas & Galariotis, Emilios & Makridou, Georgia & Zopounidis, Constantin, 2017. "Corporate failure prediction in the European energy sector: A multicriteria approach and the effect of country characteristics," European Journal of Operational Research, Elsevier, vol. 262(1), pages 347-360.
    14. Friedman, Jerome H., 2002. "Stochastic gradient boosting," Computational Statistics & Data Analysis, Elsevier, vol. 38(4), pages 367-378, February.
    15. Michalis Doumpos & Kostas Andriosopoulos & Emilios Galariotis & Georgia Makridou & Constantin Zopounidis, 2017. "Corporate failure prediction in the European energy sector: A multicriteria approach and the effect of country characteristics," Post-Print hal-01578092, HAL.
    16. Michael Doumpos & Constantin Zopounidis, 2007. "Model combination for credit risk assessment: A stacked generalization approach," Annals of Operations Research, Springer, vol. 151(1), pages 289-306, April.
    17. Lessmann, Stefan & Baesens, Bart & Seow, Hsin-Vonn & Thomas, Lyn C., 2015. "Benchmarking state-of-the-art classification algorithms for credit scoring: An update of research," European Journal of Operational Research, Elsevier, vol. 247(1), pages 124-136.
    18. McGurr, Paul T. & DeVaney, Sharon A., 1998. "Predicting Business Failure of Retail Firms: An Analysis Using Mixed Industry Models," Journal of Business Research, Elsevier, vol. 43(3), pages 169-176, November.
    19. Sudheer Chava & Robert A. Jarrow, 2008. "Bankruptcy Prediction with Industry Effects," World Scientific Book Chapters, in: Financial Derivatives Pricing Selected Works of Robert Jarrow, chapter 21, pages 517-549, World Scientific Publishing Co. Pte. Ltd..
    20. Frydman, Halina & Altman, Edward I & Kao, Duen-Li, 1985. "Introducing Recursive Partitioning for Financial Classification: The Case of Financial Distress," Journal of Finance, American Finance Association, vol. 40(1), pages 269-291, March.
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    Cited by:

    1. Koen W. de Bock & Kristof Coussement & Arno De Caigny & Roman Slowiński & Bart Baesens & Robert N Boute & Tsan-Ming Choi & Dursun Delen & Mathias Kraus & Stefan Lessmann & Sebastián Maldonado & David , 2023. "Explainable AI for Operational Research: A Defining Framework, Methods, Applications, and a Research Agenda," Post-Print hal-04219546, HAL.
    2. Xing, Jin & Chi, Guotai & Pan, Ancheng, 2024. "Instance-dependent misclassification cost-sensitive learning for default prediction," Research in International Business and Finance, Elsevier, vol. 69(C).
    3. Liu, Wanan & Fan, Hong & Xia, Meng, 2023. "Tree-based heterogeneous cascade ensemble model for credit scoring," International Journal of Forecasting, Elsevier, vol. 39(4), pages 1593-1614.
    4. Vairetti, Carla & Gennaro, Franco & Maldonado, Sebastián, 2024. "Propensity score oversampling and matching for uplift modeling," European Journal of Operational Research, Elsevier, vol. 316(3), pages 1058-1069.
    5. Benítez-Peña, Sandra & Blanquero, Rafael & Carrizosa, Emilio & Ramírez-Cobo, Pepa, 2024. "Cost-sensitive probabilistic predictions for support vector machines," European Journal of Operational Research, Elsevier, vol. 314(1), pages 268-279.
    6. Chao Fu & Dongyue Wang & Wenjun Chang, 2023. "Data-driven analysis of influence between radiologists for diagnosis of breast lesions," Annals of Operations Research, Springer, vol. 328(1), pages 419-449, September.
    7. Ahmed, Abdulaziz & Topuz, Kazim & Moqbel, Murad & Abdulrashid, Ismail, 2024. "What makes accidents severe! explainable analytics framework with parameter optimization," European Journal of Operational Research, Elsevier, vol. 317(2), pages 425-436.
    8. Borchert, Philipp & Coussement, Kristof & De Caigny, Arno & De Weerdt, Jochen, 2023. "Extending business failure prediction models with textual website content using deep learning," European Journal of Operational Research, Elsevier, vol. 306(1), pages 348-357.
    9. Michal Pavlicko & Marek Durica & Jaroslav Mazanec, 2021. "Ensemble Model of the Financial Distress Prediction in Visegrad Group Countries," Mathematics, MDPI, vol. 9(16), pages 1-26, August.
    10. De Bock, Koen W. & Coussement, Kristof & Caigny, Arno De & Słowiński, Roman & Baesens, Bart & Boute, Robert N. & Choi, Tsan-Ming & Delen, Dursun & Kraus, Mathias & Lessmann, Stefan & Maldonado, Sebast, 2024. "Explainable AI for Operational Research: A defining framework, methods, applications, and a research agenda," European Journal of Operational Research, Elsevier, vol. 317(2), pages 249-272.
    11. Deng, Shangkun & Luo, Qunfang & Zhu, Yingke & Ning, Hong & Shimada, Tatsuro, 2024. "Financial risk forewarning with an interpretable ensemble learning approach: An empirical analysis based on Chinese listed companies," Pacific-Basin Finance Journal, Elsevier, vol. 85(C).

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