Moro, Russ
[VerfasserIn]
;
Härdle, Wolfgang K.
[Sonstige Person, Familie und Körperschaft];
Aliakbari, Saeideh
[Sonstige Person, Familie und Körperschaft];
Hoffman, Linda
[Sonstige Person, Familie und Körperschaft]
Forecasting Corporate Distress in the Asian and Pacific Region
Anmerkungen:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments May 20, 2011 erstellt
Beschreibung:
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