Resource title

Estimating probabilities of default with support vector machines

Resource image

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Resource description

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 introduction to underlying statistical models and represent the results of testing our approach on German Bundesbank data. In particular we discuss the selection of variables and give a comparison with more traditional approaches such as discriminant analysis and the logit regression. The results demonstrate that the SVM has clear advantages over these methods for all variables tested.

Resource author

Wolfgang Karl Härdle, Rouslan A. Moro, Dorothea Schäfer

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Resource publish date

Resource language

eng

Resource content type

text/html

Resource resource URL

http://hdl.handle.net/10419/25207

Resource license

Adapt according to the presented license agreement and reference the original author.