Bankruptcy prediction using support vector machine with optimal choice of kernel function parameters

Authors:
Jae H. Min;Young-Chan Lee
Affiliations:
College of Business Administration, Sogang University, CPO Box 1142, Seoul 121-742, South Korea;College of Commerce and Economics, Dongguk University, Gyeongju, Gyeongbuk, 780-714, South Korea
Venue:
Expert Systems with Applications: An International Journal
Year:
2005

Citing 13
Cited 81

Forecasting with neural networks

Information and Management
Managerial applications of neural networks: the case of bank failure predictions

Management Science
Bankruptcy prediction using neural networks

Decision Support Systems - Special issue on neural networks for decision support
Hybrid neural network models for bankruptcy predictions

Decision Support Systems
Neural network credit scoring models

Computers and Operations Research - Neural networks in business
Neural Networks for Statistical Modeling

Neural Networks for Statistical Modeling
Selecting Bankruptcy Predictors Using a Support Vector Machine Approach

IJCNN '00 Proceedings of the IEEE-INNS-ENNS International Joint Conference on Neural Networks (IJCNN'00)-Volume 6 - Volume 6
Credit rating analysis with support vector machines and neural networks: a market comparative study

Decision Support Systems - Special issue: Data mining for financial decision making
Dynamics of modeling in data mining: interpretive approach to bankruptcy prediction

Journal of Management Information Systems - Special section: Data mining
Lessons in neural network training: overfitting may be harder than expected

AAAI'97/IAAI'97 Proceedings of the fourteenth national conference on artificial intelligence and ninth conference on Innovative applications of artificial intelligence
Neural networks for classification: a survey

IEEE Transactions on Systems, Man, and Cybernetics, Part C: Applications and Reviews
Support vector machines for spam categorization

IEEE Transactions on Neural Networks
Financial time series prediction using least squares support vector machines within the evidence framework

IEEE Transactions on Neural Networks

Predicting corporate financial distress based on integration of support vector machine and logistic regression

Expert Systems with Applications: An International Journal
An application of one-class support vector machines in content-based image retrieval

Expert Systems with Applications: An International Journal
Using neural network ensembles for bankruptcy prediction and credit scoring

Expert Systems with Applications: An International Journal
A hybrid financial analysis model for business failure prediction

Expert Systems with Applications: An International Journal
Feature selection to diagnose a business crisis by using a real GA-based support vector machine: An empirical study

Expert Systems with Applications: An International Journal
Listed companies' financial distress prediction based on weighted majority voting combination of multiple classifiers

Expert Systems with Applications: An International Journal
Application of Fuzzy Classification in Bankruptcy Prediction

ICIC '08 Proceedings of the 4th international conference on Intelligent Computing: Advanced Intelligent Computing Theories and Applications - with Aspects of Theoretical and Methodological Issues
Predicting financial activity with evolutionary fuzzy case-based reasoning

Expert Systems with Applications: An International Journal
Financial distress prediction based on OR-CBR in the principle of k-nearest neighbors

Expert Systems with Applications: An International Journal
Financial distress early warning based on group decision making

Computers and Operations Research
Ranking-order case-based reasoning for financial distress prediction

Knowledge-Based Systems
Gaussian case-based reasoning for business failure prediction with empirical data in China

Information Sciences: an International Journal
An experimental comparison of ensemble of classifiers for bankruptcy prediction and credit scoring

Expert Systems with Applications: An International Journal
Predicting bank financial failures using neural networks, support vector machines and multivariate statistical methods: A comparative analysis in the sample of savings deposit insurance fund (SDIF) transferred banks in Turkey

Expert Systems with Applications: An International Journal
A genetic programming model for bankruptcy prediction: Empirical evidence from Iran

Expert Systems with Applications: An International Journal
A Novel hybrid genetic algorithm for kernel function and parameter optimization in support vector regression

Expert Systems with Applications: An International Journal
Earnings management prediction: A pilot study of combining neural networks and decision trees

Expert Systems with Applications: An International Journal
Majority voting combination of multiple case-based reasoning for financial distress prediction

Expert Systems with Applications: An International Journal
A study of financial insolvency prediction model for life insurers

Expert Systems with Applications: An International Journal
Prediction of financial information manipulation by using support vector machine and probabilistic neural network

Expert Systems with Applications: An International Journal
A binary classification method for bankruptcy prediction

Expert Systems with Applications: An International Journal
A selective ensemble based on expected probabilities for bankruptcy prediction

Expert Systems with Applications: An International Journal
Feature selection in bankruptcy prediction

Knowledge-Based Systems
Differential evolution trained wavelet neural networks: Application to bankruptcy prediction in banks

Expert Systems with Applications: An International Journal
Predicting business failure using multiple case-based reasoning combined with support vector machine

Expert Systems with Applications: An International Journal
Using support vector machine with a hybrid feature selection method to the stock trend prediction

Expert Systems with Applications: An International Journal
Applying enhanced data mining approaches in predicting bank performance: A case of Taiwanese commercial banks

Expert Systems with Applications: An International Journal
Detecting stock-price manipulation in an emerging market: The case of Turkey

Expert Systems with Applications: An International Journal
Credit Risk Assessment Model of Commercial Banks Based on Fuzzy Neural Network

ISNN '09 Proceedings of the 6th International Symposium on Neural Networks on Advances in Neural Networks
Business failure prediction using hybrid2 case-based reasoning (H2CBR)

Computers and Operations Research
A hybrid approach of DEA, rough set and support vector machines for business failure prediction

Expert Systems with Applications: An International Journal
A practical approach to bankruptcy prediction for small businesses: Substituting the unavailable financial data for credit card sales information

Expert Systems with Applications: An International Journal
Transmembrane segments prediction and understanding using support vector machine and decision tree

Expert Systems with Applications: An International Journal
Splice site prediction using support vector machines with a Bayes kernel

Expert Systems with Applications: An International Journal
Bankruptcy prediction with neural logic networks by means of grammar-guided genetic programming

Expert Systems with Applications: An International Journal
The evaluation of consumer loans using support vector machines

Expert Systems with Applications: An International Journal
A model based on rough set theory combined with algebraic structure and its application: Bridges maintenance management evaluation

Expert Systems with Applications: An International Journal
On sensitivity of case-based reasoning to optimal feature subsets in business failure prediction

Expert Systems with Applications: An International Journal
MP-polynomial kernel for training support vector machines

CIARP'07 Proceedings of the Congress on pattern recognition 12th Iberoamerican conference on Progress in pattern recognition, image analysis and applications
Predicting business failure using classification and regression tree: An empirical comparison with popular classical statistical methods and top classification mining methods

Expert Systems with Applications: An International Journal
Predicting bankruptcy using neural networks and other classification methods: The influence of variable selection techniques on model accuracy

Neurocomputing
Neural networks for credit risk evaluation: Investigation of different neural models and learning schemes

Expert Systems with Applications: An International Journal
On performance of case-based reasoning in Chinese business failure prediction from sensitivity, specificity, positive and negative values

Applied Soft Computing
The use of hybrid manifold learning and support vector machines in the prediction of business failure

Knowledge-Based Systems
Credit risk assessment in commercial banks based on multi-layer SVM classifier

ICIC'06 Proceedings of the 2006 international conference on Intelligent computing: Part II
Predicting business failure using forward ranking-order case-based reasoning

Expert Systems with Applications: An International Journal
Empirical research of hybridizing principal component analysis with multivariate discriminant analysis and logistic regression for business failure prediction

Expert Systems with Applications: An International Journal
A GA-based support vector machine diagnosis model for business crisis

ICCCI'10 Proceedings of the Second international conference on Computational collective intelligence: technologies and applications - Volume PartI
Using partial least squares and support vector machines for bankruptcy prediction

Expert Systems with Applications: An International Journal
Global optimization of support vector machines using genetic algorithms for bankruptcy prediction

ICONIP'06 Proceedings of the 13th international conference on Neural information processing - Volume Part III
Predicting business failure using support vector machines with straightforward wrapper: A re-sampling study

Expert Systems with Applications: An International Journal
Evaluation of shape classification techniques based on the signature of the blob

Signal Processing
Credit risk evaluation using neural networks: Emotional versus conventional models

Applied Soft Computing
Financial ratings with scarce information: A neural network approach

Expert Systems with Applications: An International Journal
A modified directional distance formulation of DEA to assess bankruptcy: An application to IT/ITES companies in India

Expert Systems with Applications: An International Journal
A tuning method for the architecture of neural network models incorporating GAM and GA as applied to bankruptcy prediction

Expert Systems with Applications: An International Journal
A hybrid stock selection model using genetic algorithms and support vector regression

Applied Soft Computing
The prediction for listed companies' financial distress by using multiple prediction methods with rough set and Dempster-Shafer evidence theory

Knowledge-Based Systems
Financial distress prediction based on similarity weighted voting CBR

ADMA'06 Proceedings of the Second international conference on Advanced Data Mining and Applications
Mining financial distress trend data using penalty guided support vector machines based on hybrid of particle swarm optimization and artificial bee colony algorithm

Neurocomputing
An application of support vector machine to companies' financial distress prediction

MDAI'06 Proceedings of the Third international conference on Modeling Decisions for Artificial Intelligence
Enhanced default risk models with SVM+

Expert Systems with Applications: An International Journal
Hybrid artificial immune algorithm and CMAC neural network classifier for supporting business and medical decision making

ADMA'11 Proceedings of the 7th international conference on Advanced Data Mining and Applications - Volume Part II
Machine learning approach for finding business partners and building reciprocal relationships

Expert Systems with Applications: An International Journal
Financial distress prediction using support vector machines: Ensemble vs. individual

Applied Soft Computing
Using past manufacturing experience to assist building the yield forecast model for new manufacturing processes

Journal of Intelligent Manufacturing
Uniformly subsampled ensemble (USE) for churn management: Theory and implementation

Expert Systems with Applications: An International Journal
Review: Supervised classification and mathematical optimization

Computers and Operations Research
Empirical models based on features ranking techniques for corporate financial distress prediction

Computers & Mathematics with Applications
Integration Of Random Sample Selection, Support Vector Machines And Ensembles For Financial Risk Forecasting With An Empirical Analysis On The Necessity Of Feature Selection

International Journal of Intelligent Systems in Accounting and Finance Management
Differential evolution trained kernel principal component WNN and kernel binary quantile regression: Application to banking

Knowledge-Based Systems
Orthogonal support vector machine for credit scoring

Engineering Applications of Artificial Intelligence
On proximal bilateral-weighted fuzzy support vector machine classifiers

International Journal of Advanced Intelligence Paradigms
A multi-industry bankruptcy prediction model using back-propagation neural network and multivariate discriminant analysis

Expert Systems with Applications: An International Journal
Company failure prediction in the construction industry

Expert Systems with Applications: An International Journal
Improving the management of microfinance institutions by using credit scoring models based on Statistical Learning techniques

Expert Systems with Applications: An International Journal
Combining cluster analysis with classifier ensembles to predict financial distress

Information Fusion
An improved boosting based on feature selection for corporate bankruptcy prediction

Expert Systems with Applications: An International Journal
Comparing the learning effectiveness of BP, ELM, I-ELM, and SVM for corporate credit ratings

Neurocomputing
Predicting financial distress and corporate failure: A review from the state-of-the-art definitions, modeling, sampling, and featuring approaches

Knowledge-Based Systems
Finite Newton method for implicit Lagrangian support vector regression

International Journal of Knowledge-based and Intelligent Engineering Systems

Quantified Score

Hi-index	12.12

Visualization

Abstract

Bankruptcy prediction has drawn a lot of research interests in previous literature, and recent studies have shown that machine learning techniques achieved better performance than traditional statistical ones. This paper applies support vector machines (SVMs) to the bankruptcy prediction problem in an attempt to suggest a new model with better explanatory power and stability. To serve this purpose, we use a grid-search technique using 5-fold cross-validation to find out the optimal parameter values of kernel function of SVM. In addition, to evaluate the prediction accuracy of SVM, we compare its performance with those of multiple discriminant analysis (MDA), logistic regression analysis (Logit), and three-layer fully connected back-propagation neural networks (BPNs). The experiment results show that SVM outperforms the other methods.