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
Küçük Resim Yok
Tarih
2009
Dergi Başlığı
Dergi ISSN
Cilt Başlığı
Yayıncı
PERGAMON-ELSEVIER SCIENCE LTD
Erişim Hakkı
info:eu-repo/semantics/closedAccess
Özet
Bank failures threaten the economic system as a whole. Therefore, predicting bank financial failures is crucial to prevent and/or lessen the incoming negative effects oil the economic system. This is originally a classification problem to categorize banks as healthy or non-healthy ones. This study aims to apply various neural network techniques, support vector machines and multivariate statistical methods to the bank failure prediction problem in a Turkish case, and to present a comprehensive computational comparison of the classification performances of the techniques tested. Twenty financial ratios with six feature groups including capital adequacy, asset quality, management quality, earnings, liquidity and sensitivity to market risk (CAMELS) are selected as predictor variables in the study. Four different data sets with different characteristics are developed using official financial data to improve the prediction performance. Each data set is also divided into training and validation sets. In the category of neural networks, four different architectures namely multi-layer perceptron, competitive learning, self-organizing map and learning vector quantization are employed. The multivariate statistical methods; multivariate discriminant analysis, k-means cluster analysis and logistic regression analysis are tested. Experimental results are evaluated with respect to the correct accuracy performance of techniques. Results show that multi-layer perceptron and learning vector quatization can be considered as the most successful models in predicting the financial failure of banks. (C) 2008 Elsevier Ltd. All rights reserved.
Açıklama
Anahtar Kelimeler
Bankruptcy prediction, Financial failure, Banking, Savings deposit insurance fund, Artificial neural networks, Support vector machines, Multivariate statistical analysis
Kaynak
EXPERT SYSTEMS WITH APPLICATIONS
WoS Q Değeri
Q1
Scopus Q Değeri
Q1
Cilt
36
Sayı
2
