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2006-02-24Buch DOI: 10.18452/3945
Graphical Data Representation in Bankruptcy Analysis
dc.contributor.authorHärdle, Wolfgang Karl
dc.contributor.authorMoro, Rouslan
dc.contributor.authorSchäfer, Dorothea
dc.date.accessioned2017-06-15T23:05:43Z
dc.date.available2017-06-15T23:05:43Z
dc.date.created2006-03-08
dc.date.issued2006-02-24
dc.identifier.issn1860-5664
dc.identifier.urihttp://edoc.hu-berlin.de/18452/4597
dc.description.abstractGraphical 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 convenient representation of ratings in a closed form is possible reducing theneed for graphical tools. In contrast to that non-linear non-parametric models achieving better accuracy often rely on visualisation. We demonstrate an application of visualisation techniques at different stages of corporate default analysis based on Support Vector Machines (SVM). These stages are the selection of variables (predictors), probability of default (PD) estimation and the representation of PDs for two and higher dimensional models with colour coding. It is at this stage when the selection of a proper colour scheme becomes essential for a correct visualisation of PDs. The mapping of scores into PDs is done as a non-parametric regression with monotonisation. The SVMlearns a non-parametric score function that is, in its turn, non-parametrically transformed into PDs. Since PDs cannot be represented in a closed form, some other ways of displaying them must be found. Graphical tools give thispossibility.eng
dc.language.isoeng
dc.publisherHumboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät
dc.rights.urihttp://rightsstatements.org/vocab/InC/1.0/
dc.subjectcompany ratingeng
dc.subjectdefault probabilityeng
dc.subjectsupport vector machineseng
dc.subjectcolour codingeng
dc.subject.ddc330 Wirtschaft
dc.titleGraphical Data Representation in Bankruptcy Analysis
dc.typebook
dc.identifier.urnurn:nbn:de:kobv:11-10059801
dc.identifier.doihttp://dx.doi.org/10.18452/3945
dc.subject.dnb17 Wirtschaft
local.edoc.container-titleSonderforschungsbereich 649: Ökonomisches Risiko
local.edoc.pages24
local.edoc.type-nameBuch
local.edoc.container-typeseries
local.edoc.container-type-nameSchriftenreihe
local.edoc.container-volume2006
local.edoc.container-issue15
local.edoc.container-year2006
local.edoc.container-erstkatid2195055-6

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