Acta Univ. Agric. Silvic. Mendelianae Brun. 2016, 64, 627-634

https://doi.org/10.11118/actaun201664020627
Published online 2016-05-04

Prediction of Bankruptcy with SVM Classifiers Among Retail Business Companies in EU

Václav Klepáč, David Hampel

Department of Statistics and Operation Analysis, Mendel University in Brno, Zemědělská 1, 613 00 Brno, Czech Republic

Article focuses on the prediction of bankruptcy of the 850 medium-sized retail business companies in EU from which 48 companies gone bankrupt in 2014 with respect to lag of the used features. From various types of classification models we chose Support vector machines method with linear, polynomial and radial kernels to acquire best results. Pre-processing is enhanced with filter based feature selection like Gain ratio, Chi-square and Relief algorithm to acquire attributes with the best information value. On this basis we deal with random samples of financial data to measure prediction accuracy with the confusion matrices and area under curve values for different kernel types and selected features. From the results it is obvious that with the rising distance to the bankruptcy there drops precision of bankruptcy prediction. The last year (2013) with avaible financial data offers best total prediction accuracy, thus we also infer both the Error I and II types for better recognizance. The 3rd order polynomial kernel offers better accuracy for bankruptcy prediction than linear and radial versions. But in terms of the total accuracy we recommend to use radial kernel without feature selection.

Funding

The paper was supported by the Internal Grant Agency FBE MENDELU under project: Testování modelů pro vícerozměrnou analýzu a predikci kreditního rizika (No. 19/2015).

References

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