期刊名称：DIW Diskussionspapiere / Deutsches Institut für Wirtschaftsforschung, Berlin
出版年度：2008
卷号：2008
出版社：Deutsches Institut für Wirtschaftsforschung, Berlin
摘要：This paper introduces a statistical technique, Support Vector Machines (SVM),
which is considered by the Deutsche Bundesbank as an alternative for company
rating. A special attention is paid to the features of the SVM which provide a
higher accuracy of company classification into solvent and insolvent. The
advantages and disadvantages of the method are discussed. The comparison of the
SVM with more traditional approaches such as logistic regression (Logit) and
discriminant analysis (DA) is made on the Deutsche Bundesbank data of annual
income statements and balance sheets of German companies. The out-of-sample
accuracy tests confirm that the SVM outperforms both DA and Logit on
bootstrapped samples.
关键词：Company rating, bankruptcy analysis, support vector machines
