Company rating with support vector machines

DOI10.1515/STRM-2012-1141MaRDI QIDQ2397482zbMATH OpenOpenAlexFDO

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

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)

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Cites work

• scientific article; zbMATH DE number 1950576 (Why is no real title available?)
• scientific article; zbMATH DE number 823069 (Why is no real title available?)
• scientific article; zbMATH DE number 3390139 (Why is no real title available?)
• A corporate credit rating model using multi-class support vector machines with an ordinal pairwise partitioning approach
• Bayesian Framework for Least-Squares Support Vector Machine Classifiers, Gaussian Processes, and Kernel Fisher Discriminant Analysis
• Comprehensible credit scoring models using rule extraction from support vector machines
• Measuring classifier performance: a coherent alternative to the area under the ROC curve
• Multiperiod corporate default prediction -- a forward intensity approach
• On a Test of Whether one of Two Random Variables is Stochastically Larger than the Other
• Projections onto order simplexes
• The Evolution of Methods of Convex Optimization

Cited in

(7)

• 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
• Performance evaluation of least-squares probabilistic classifier for corporate credit rating classification problem
• Support vector regression for loss given default modelling

Describes a project that uses

Uses Software

• isotone

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