Browsing by Author "Schäfer, Dorothea"

Now showing items 1-4 of 4

2007-06-01Buch

Estimating Probabilities of Default With Support Vector Machines

Härdle, Wolfgang Karl; Moro, Rouslan; Schäfer, Dorothea

This paper proposes a rating methodology that is based on a non-linear classification method, the support vector machine, and a non-parametric technique for mapping rating scores into probabilities of default. We give an ...
2006-02-24Buch

Graphical Data Representation in Bankruptcy Analysis

Härdle, Wolfgang Karl; Moro, Rouslan; Schäfer, Dorothea

Graphical data representation is an important tool for model selection in bankruptcy analysis since the problem is highly non-linear and its numerical representation is much less transparent. In classical rating models a ...
2005-03-01Buch

Predicting Bankruptcy with Support Vector Machines

Härdle, Wolfgang Karl; Moro, Rouslan; Schäfer, Dorothea

The purpose of this work is to introduce one of the most promising among recently developed statistical techniques – the support vector machine (SVM) – to corporate bankruptcy analysis. An SVM is implemented for analysing ...
2008-01-07Buch

The Default Risk of Firms Examined with Smooth Support Vector Machines

Härdle, Wolfgang Karl; Lee, Yuh-Jye; Schäfer, Dorothea; Yeh, Yi-Ren

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 ...