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

Tony Bellotti, Roman Matousek, Chris Stewart

Research output: Journal PublicationArticlepeer-review

25 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 languageEnglish
Pages (from-to)682-687
Number of pages6
JournalDecision Support Systems
Volume51
Issue number3
DOIs
Publication statusPublished - Jun 2011
Externally publishedYes

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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