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Assessing bankruptcy risk for financial institutions: methodological framework and predictive modelling

Manthoulis Georgios

Πλήρης Εγγραφή


URI: http://purl.tuc.gr/dl/dias/EC707282-3D0B-4679-8657-FE636EF510C8
Έτος 2019
Τύπος Διδακτορική Διατριβή
Άδεια Χρήσης
Λεπτομέρειες
Βιβλιογραφική Αναφορά Georgios Manthoulis, "Assessing bankruptcy risk for financial institutions: methodological framework and predictive modelling", Doctoral Dissertation, School of Production Engineering and Management, Technical University of Crete, Chania, Greece, 2019 https://doi.org/10.26233/heallink.tuc.83773
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Περίληψη

This thesis is a comprehensive and complete research on bank failure prediction, as it examines various modeling aspects for obtaining improved results. The analysis is based on a comprehensive dataset of approximately 60,000 observations over an extensive period of nine years (2005-2014), and it examines different prediction horizons, for up to three years prior to failure. We explore whether the addition of variables related to the diversification of the banks’ activities, along with local effects, improves the predictability of the models. Seven popular and widely used machine-learning techniques are compared (logistic regression, support vector machines with linear and radial kernels, naïve Bayes, extreme gradient boosting, random forests and artificial neural networks) and three different classification performance metrics are calculated (AUROC, H-measure, and Kolmogorov-Smirnov metric). In order to ensure the robustness of the results, bootstrap testing is used. The results show that mid- and long-range predictions improve significantly with the addition of diversification variables. Local effects exist and further improve the results while support vector machines along with gradient boosting and random forests outperform the traditional models with the differences increasing over longer prediction horizons.

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