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2011-05-20Buch DOI: 10.18452/4313
Forecasting Corporate Distress in the Asian and Pacific Region
Moro, Russ
Härdle, Wolfgang Karl cc
Aliakbari, Saeideh
Hoffmann, Linda
This study analyses credit default risk for firms in the Asian and Pacific region by applying two methodologies: a Support Vector Machine (SVM) and a logistic regression (Logit). Among different financial ratios suggested as predictors of default, leverage ratios and the company size display a higher discriminating power compared to others. An analysis of the dependencies between PD and financial ratios is provided along with a comparison with Europe (Germany). With respect to forecasting accuracy the SVM has a lower model risk than the Logit on average and displays a more robust performance. This result holds true across different years.
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DOI
10.18452/4313
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https://doi.org/10.18452/4313
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