Bankruptcy prediction by generalized additive models

DOI10.1002/ASMB.658zbMath1164.62078OpenAlexW2110767824MaRDI QIDQ5430345

Daniel Berg

Publication date: 16 December 2007

Published in: Applied Stochastic Models in Business and Industry (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/asmb.658

zbMATH Keywords

default horizonmulti-year modelperformance depreciation

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Linear inference, regression (62J99)

Related Items (7)

An empirical comparison of classification algorithms for mortgage default prediction: evidence from a distressed mortgage market ⋮ Quantification of model risk that is caused by model misspecification ⋮ Statistical inference for generalized additive models: simultaneous confidence corridors and variable selection ⋮ Identifying hidden patterns in credit risk survival data using generalised additive models ⋮ Bankruptcy prediction using terminal failure processes ⋮ Ensemble classification based on generalized additive models ⋮ Pricing credit derivatives under stochastic recovery in a hybrid model

Cites Work

• Unnamed Item
• Generalized additive models
• A survey of business failures with an emphasis on prediction methods and industrial applications
• A multicriteria decision aid methodology for sorting decision problems: The case of financial distress
• Managerial Applications of Neural Networks: The Case of Bank Failure Predictions

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