Combining market and accounting-based models for credit scoring using a classification scheme based on support vector machines

作者：

Highlights：

• Combination of option-based model with accounting data for credit risk model.

• Application of market model to non-listed firms.

• Use of a novel additive support vector machines model.

摘要

•Combination of option-based model with accounting data for credit risk model.•Application of market model to non-listed firms.•Use of a novel additive support vector machines model.

论文关键词：Credit risk,Black–Scholes–Merton model,Credit rating,Support vector machines

论文评审过程：Available online 7 March 2014.

论文官网地址：https://doi.org/10.1016/j.amc.2014.02.028