A note comparing support vector machines and ordered choice models’ predictions of international banks’ ratings

Bellotti, Tony, Matousek, Roman and Stewart, Chris (2011) A note comparing support vector machines and ordered choice models’ predictions of international banks’ ratings. Decision Support Systems, 51 (3). pp. 682-687. ISSN 0167-9236

Full text not available from this repository.

Abstract

We find that support vector machines can produce notably better predictions of international bank ratings than the standard method currently used for this purpose, ordered choice models. This appears due to the support vector machine's ability to estimate a large number of country dummies unrestrictedly, which was not possible with the ordered choice models due to the low sample size.

Item Type: Article
Keywords: International bank ratings; Support vector machines; Ordered choice models
Schools and Departments: School of Business, Management and Economics > Business and Management
Subjects: H Social Sciences > HG Finance > HG4001 Finance management. Business finance. Corporation finance
Depositing User: Roman Matousek
Date Deposited: 20 Sep 2012 10:16
Last Modified: 20 Sep 2012 10:16
URI: http://sro.sussex.ac.uk/id/eprint/40755
📧 Request an update