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

Tony Bellotti; Roman Matousek; Chris Stewart

doi:10.1016/j.dss.2011.03.008

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

Tony Bellotti, Roman Matousek, Chris Stewart

Research output: Journal Publication › Article › peer-review

24 Citations (Scopus)

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.

Original language	English
Pages (from-to)	682-687
Number of pages	6
Journal	Decision Support Systems
Volume	51
Issue number	3
DOIs	https://doi.org/10.1016/j.dss.2011.03.008
Publication status	Published - Jun 2011
Externally published	Yes

Keywords

International bank ratings
Ordered choice models
Support vector machines

ASJC Scopus subject areas

Management Information Systems
Information Systems
Developmental and Educational Psychology
Arts and Humanities (miscellaneous)
Information Systems and Management

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10.1016/j.dss.2011.03.008

Cite this

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title = "A note comparing support vector machines and ordered choice models' predictions of international banks' ratings",

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.",

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AB - 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.

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

Abstract

Keywords

ASJC Scopus subject areas

Access to Document

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