English, Article, Journal or magazine article edition: Bayesian Kernel-Based Classification for Financial Distress Detection T. VAN GESTEL; B. BAESENS; J. A.K. SUYKENS; ...

User activity

Share to:
 
Bookmark: http://trove.nla.gov.au/version/14995
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Bayesian Kernel-Based Classification for Financial Distress Detection
Author
  • T. VAN GESTEL
  • B. BAESENS
  • J. A.K. SUYKENS
  • D. VAN DEN POEL
  • D.-E. BAESTAENS
  • BM. WILLEKENS
Physical Description
  • preprint
Notes
  • Corporate credit granting is a key commercial activity of financial institutions nowadays. A critical first step in the credit granting process usually involves a careful financial analysis of the creditworthiness of the potential client. Wrong decisions result either in foregoing valuable clients or, more severely, in substantial capital losses if the client subsequently defaults. It is thus of crucial importance to develop models that estimate the probability of corporate bankruptcy with a high degree of accuracy. Many studies focused on the use of financial ratios in linear statistical models, such as linear discriminant analysis and logistic regression. However, the obtained error rates are often high. In this paper, Least Squares Support Vector Machine (LS-SVM) classifiers, also known as kernel Fisher discriminant analysis, are applied within the Bayesian evidence framework in order to automatically infer and analyze the creditworthiness of potential corporate clients. The inferred posterior class probabilities of bankruptcy are then used to analyze the sensitivity of the classifier output with respect to the given inputs and to assist in the credit assignment decision making process. The suggested nonlinear kernel based classifiers yield better performances than linear discriminant analysis and logistic regression when applied to a real-life data set concerning commercial credit granting to mid-cap Belgian and Dutch firms.
  • Credit Scoring, Kernel Fisher Discriminant Analysis, Least Squares Support Vector Machine Classifiers, Bayesian Inference
  • RePEc:rug:rugwps:04/​247
Language
  • English
Contributed by
OAIster

Get this edition

Other links

  • Set up My libraries

    How do I set up "My libraries"?

    In order to set up a list of libraries that you have access to, you must first login or sign up. Then set up a personal list of libraries from your profile page by clicking on your user name at the top right of any screen.

  • All (1)
  • Unknown (1)
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.

User activity


e.g. test cricket, Perth (WA), "Parkes, Henry"

Separate different tags with a comma. To include a comma in your tag, surround the tag with double quotes.

Be the first to add a tag for this edition

Be the first to add this to a list

Comments and reviews

What are comments? Add a comment

No user comments or reviews for this version

Add a comment