Company rating with support vector machines

DOI10.1515/STRM-2012-1141zbMATH Open1362.62201OpenAlexW2606653329MaRDI QIDQ2397482FDOQ2397482

Authors: Russ A. Moro, Dorothea Schäfer, Wolfgang K. Härdle 

Publication date: 22 May 2017

Published in: Statistics \& Risk Modeling (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/strm-2012-1141

Recommendations

• Modeling default risk with support vector machines
• MONOTONIC SUPPORT VECTOR MACHINES FOR CREDIT RISK RATING
• Performance evaluation of least-squares probabilistic classifier for corporate credit rating classification problem
• Combining market and accounting-based models for credit scoring using a classification scheme based on support vector machines
• Bayesian kernel based classification for financial distress detection

zbMATH Keywords

support vector machinesbankruptcyprobability of defaultcompany rating

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Classification and discrimination; cluster analysis (statistical aspects) (62H30) Applications of statistics to economics (62P20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cites Work

• Title not available (Why is that?)
• On a Test of Whether one of Two Random Variables is Stochastically Larger than the Other
• Projections onto order simplexes
• Measuring classifier performance: a coherent alternative to the area under the ROC curve
• Comprehensible credit scoring models using rule extraction from support vector machines
• Title not available (Why is that?)
• Title not available (Why is that?)
• Bayesian Framework for Least-Squares Support Vector Machine Classifiers, Gaussian Processes, and Kernel Fisher Discriminant Analysis
• Multiperiod corporate default prediction -- a forward intensity approach
• The Evolution of Methods of Convex Optimization
• A corporate credit rating model using multi-class support vector machines with an ordinal pairwise partitioning approach

Cited In (5)

• An accuracy based corporate classifier system
• Classification of companies using maximal margin ellipsoidal surfaces
• Can machine learning approaches predict corporate bankruptcy? Evidence from a qualitative experimental design
• Modeling default risk with support vector machines
• MONOTONIC SUPPORT VECTOR MACHINES FOR CREDIT RISK RATING

Uses Software

• isotone

This page was built for publication: Company rating with support vector machines

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2397482)