Forecasting corporate distress in the Asian and Pacific region

Arbeitspapier

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.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: SFB 649 Discussion Paper ; No. 2011-023

Klassifikation und Themen

• Klassifikation: Wirtschaft ; Semiparametric and Nonparametric Methods: General ; Bankruptcy; Liquidation ; Neural Networks and Related Topics
• Thema: credit risk ; bankruptcy ; Asian companies ; SVM ; Firmenkundengeschäft ; Kreditrisiko ; Zahlungsunfähigkeit ; Prognoseverfahren ; Support Vector Machine ; Logit-Modell ; Schätzung ; Asiatisch-pazifischer Raum

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Moro, Russ ; Härdle, Wolfgang Karl ; Aliakbari, Saeideh ; Hoffmann, Linda
• Ereignis: Veröffentlichung
• (wer): Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk
• (wo): Berlin
• (wann): 2011

Weitere Informationen

• Handle: http://hdl.handle.net/10419/56688
• Letzte Aktualisierung: 10.03.2025, 11:42 MEZ