The comparison of enterprise bankruptcy forecasting method

Xu Xiaosi, Chen Ying and Haitao Zheng

Journal of Applied Statistics, 2011, vol. 38, issue 2, 301-308

Abstract: The enterprise bankruptcy forecasting is vital to manage credit risk, which can be solved through classifying method. There are three typical classifying methods to forecast enterprise bankruptcy: the statistics method, the Artificial Neural Network method and the kernel-based learning method. The paper introduces the first two methods briefly, and then introduces Support Vector Machine (SVM) of the kernel-based learning method, and lastly compares the bankruptcy forecasting accuracies of the three methods by building the corresponding models with the data of China's stock exchange data. From the positive analysis, we can draw a conclusion that the SVM method has a higher adaptability and precision to forecast enterprise bankruptcy.

Date: 2011
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DOI: 10.1080/02664760903406470

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