陈诗一副教授与德国Humboldt大学Härdle教授和英国Brunel大学Moro助理教授合作的论文 ”Modeling Default Risk with Support Vector Machines” 在SSCI学术期刊Quantitative Finance正式发表。
Chen, Shiyi (corresponding author), Wolfgang K. Härdle, Rouslan A. Moro, 2011, Modeling Default Risk with Support Vector Machines, Quantitative Finance, Volume 11, Issue 1, pp. 135-154.
Abstract
Predicting default risk is important for firms and banks to operate successfully. There are many reasons to use nonlinear techniques for predicting bankruptcy from financial ratios. Here we propose the so-called Support Vector Machine (SVM) to predict the default risk of German firms. Our analysis is based on the Creditreform database. In all tests performed in this paper the nonlinear model classified by SVM exceeds the benchmark logit model, based on the same predictors, in terms of the performance metric, AR. The empirical evidence is in favor of the SVM for classification, especially in the linear non-separable case. The sensitivity investigation and a corresponding visualization tool reveal that the classifying ability of SVM appears to be superior over a wide range of SVM parameters. In terms of the empirical results obtained by SVM, the eight most important predictors related to bankruptcy for these German firms belong to the ratios of activity, profitability, liquidity, leverage and the percentage of incremental inventories. Some of the financial ratios selected by the SVM model are new because they have a strong nonlinear dependence on the default risk but a weak linear dependence that therefore cannot be captured by the usual linear models such as the DA and logit models.
Keywords: Statistical learning theory; Applications to default risk; Capital asset pricing; Economics of risk
