期刊名称：DIW Diskussionspapiere / Deutsches Institut für Wirtschaftsforschung, Berlin
出版年度：2007
卷号：2007
出版社：Deutsches Institut für Wirtschaftsforschung, Berlin
摘要：In the era of Basel II a powerful tool for bankruptcy prognosis is vital for
banks. The tool must be precise but also easily adaptable to the bank's
objections regarding the relation of false acceptances (Type I error) and false
rejections (Type II error). We explore the suitability of Smooth Support Vector
Machines (SSVM), and investigate how important factors such as selection of
appropriate accounting ratios (predictors), length of training period and
structure of the training sample influence the precision of prediction.
Furthermore we showthat oversampling can be employed to gear the tradeoff
between error types. Finally, we illustrate graphically how different variants
of SSVM can be used jointly to support the decision task of loan officers.
