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In-Depth Information
At the end of this procedure, we obtain an empirically estimated AR distribution
forthe bootstrappedsubsamples. hemedian ARprovidesarobustmeasurethat can
be used to compare different variables used as predictors. he same approach can be
used to compare SVM with DA and logit regression in terms of predictive power.
WecomputeARforthesamesubsampleswiththeSVM,DA,andlogitmodels.he
median improvements in AR for the SVM over DA and the SVM over the logistic
regression are also reported below.
We will start this procedure with univariate models for
variables, K
-K
and
K
-K
(as they are denoted by the Bundesbank) and variable K
, which is a stan-
dard normal random variable used as a reference (Table
.
). For each model, the
resulting distribution of ARs will be represented as box plots (Fig.
.
). he broken
Table
.
.
Summary statistics for the Bundesbank data. q
α
is an α quantile. IQR is the
interquartile range
Var. Name
Group
q
0.01
Median
q
0.99
IQR
K1
Pre-tax profit margin
Profitability
−
26.9
2.3
78.5
5.9
K2
Operating profit margin
Profitability
−
24.6
3.8
64.8
6.3
K3
Cash flow ratio
Liquidity
22.6
5.0
120.7
9.4
−
K4
Capital recovery ratio
Liquidity
−
24.4
11.0
85.1
17.1
K5
Debt cover
Liquidity
−
42.0
17.1
507.8
34.8
K6
Days receivable
Activity
0.0
31.1
184.0
32.7
K7
Days payable
Activity
0.0
23.2
248.2
33.2
K8
Equity ratio
Financing
0.3
14.2
82.0
21.4
K9
Equity ratio (adj.)
Financing
0.5
19.3
86.0
26.2
K10 Random Variable
Test
−
2.3
0.0
2.3
1.4
K11 Net incomeratio
Profitability
−
29.2
2.3
76.5
5.9
K12 Leverage ratio
Leverage
0.0
0.0
164.3
4.1
K13 Debt ratio
Liquidity
−
54.8
1.0
80.5
21.6
K14 Liquidity ratio
Liquidity
0.0
2.0
47.9
7.1
K15 Liquidity 1
Liquidity
0.0
3.8
184.4
14.8
K16 Liquidity 2
Liquidity
2.7
63.5
503.2
58.3
K17 Liquidity 3
Liquidity
8.4
116.9
696.2
60.8
K18 Short term debt ratio
Financing
2.4
47.8
95.3
38.4
K19 Inventoriesratio
Investment
0.0
28.0
83.3
34.3
K20 Fixed assetsownership r.
Leverage
1.1
60.6
3750.0
110.3
K21 Net incomechange
Growth
−
50.6
3.9
165.6
20.1
K22 Own funds yield
Profitability
−
510.5
32.7
1998.5
81.9
K23 Capital yield
Profitability
−
16.7
8.4
63.1
11.0
K24 Net interestratio
Cost struct.
−
3.7
1.1
36.0
1.9
K25 Own funds/pension prov. r.
Financing
0.4
17.6
84.0
25.4
K26 Tangibleasset growth
Growth
0.0
24.2
108.5
32.6
K27 Own funds/provisions ratio
Financing
1.7
24.7
89.6
30.0
K28 Tangibleasset retirement
Growth
1.0
21.8
77.8
18.1
K29 Interestcoverage ratio
Cost struct.
−
1338.6
159.0
34350.0
563.2
K30 Cash flow ratio
Liquidity
−
14.1
5.2
116.4
8.9
K31 Days of inventories
Activity
0.0
42.9
342.0
55.8
K32 Current liabilities ratio
Financing
0.3
58.4
98.5
48.4
K33 Log of total assets
Other
4.9
7.9
13.0
2.1
