Forecasting corporate distress in the Asian and Pacific region

Russ Moro, Wolfgang Härdle, Saeideh Aliakbari and Linda Hoffmann

No 2011-023, SFB 649 Discussion Papers from Humboldt University Berlin, Collaborative Research Center 649: Economic Risk

Abstract: 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.

Keywords: credit risk; bankruptcy; Asian companies; SVM (search for similar items in EconPapers)
JEL-codes: C14 C45 G33 (search for similar items in EconPapers)
Date: 2011
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Persistent link: https://EconPapers.repec.org/RePEc:zbw:sfb649:sfb649dp2011-023

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