Bond Rating Using Support Vector Machine

• Main Authors: CAO, Lijuan, LIM, Kian Guan, ZHANG, Jingqing
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2007
• Subjects: Finance and Financial Management; Portfolio and Security Analysis
• Online Access: https://ink.library.smu.edu.sg/lkcsb_research/2452; https://dl.acm.org/citation.cfm?id=1165451
• Institution: Singapore Management University

This paper deals with the application of support vector machine (SVM) for bond rating. The three commonly used methods for solving multi-class classification problems in SVM, one-against-all, one-against-one, and directed acyclic graph SVM (DAGSVM) are used. The performance of SVM is compared with s...