Abstract
The companies involved in all areas of the business and industry can due to the unfavourable financial situation or inappropriate investments face financial problems resulting in bankruptcy of the company. The ability to foresee imminent bankruptcy helps managers and stock holders to take the corrective actions. In this paper, we analyze annual reports of thousands of limited liability companies and propose the bankruptcy prediction model. The available dataset is strongly imbalanced that corresponds to the real-world situation where bankrupt companies constitute only a small fraction of all companies. The proposed model is based on single-class least-squares anomaly detection classifier achieving as high as 91% prediction accuracy.
Access this chapter
Tax calculation will be finalised at checkout
Purchases are for personal use only
References
Bellovary, J.L., Giacomino, D.E., Akers, M.D.: A review of bankruptcy prediction studies: 1930 to present. J. Financ. Educ. 33, 1–42 (2007)
Altman, E.I.: Financial ratios, discriminant analysis and the prediction of corporate bankruptcy. J. Financ. 23, 589–609 (1968)
Wang, L., Wu, C.: Business failure prediction based on two-stage selective ensemble with manifold learning algorithm and kernel-based fuzzy self-organizing map. Knowl. Based Syst. 121, 99–110 (2017)
Barboza, F., Kimura, H., Altman, E.: Machine learning models and bankruptcy prediction. Expert Syst. Appl. 83, 405–417 (2017)
Zhao, D., Huang, C., Wei, Y., Yu, F., Wang, M., Chen, H.: An effective computational model for bankruptcy prediction using kernel extreme learning machine approach. Computat. Econ. 49, 325–341 (2017)
Chawla, N.V., Bowyer, K.W., Hall, L.O., Kegelmeyer, W.P.: SMOTE: synthetic minority over-sampling technique. J. Artif. Intell. Res. 16, 321–357 (2002)
He, H., Garcia, E.A.: Learning from imbalanced data. IEEE Trans. Knowl. Data Eng. 21, 1263–1284 (2009)
Zhou, Z.H., Liu, X.Y.: Training cost-sensitive neural networks with methods addressing the class imbalance problem. IEEE Trans. Knowl. Data Eng. 18, 63–77 (2006)
Schölkopf, B., Platt, J.C., Shawe-Taylor, J., Smola, A.J., Williamson, R.C.: Estimating the support of a high-dimensional distribution. Neural Comput. 13, 1443–1471 (2001)
Japkowicz, N., et al.: Learning from imbalanced data sets: a comparison of various strategies. In: AAAI Workshop on Learning from Imbalanced Data Sets (2000)
Robnik-Šikonja, M., Kononenko, I.: Theoretical and empirical analysis of ReliefF and RReliefF, “ Mach. Learn. 53, 23–69 (2003)
Kira, K., Rendell, L.A.: The feature selection problem: traditional methods and a new algorithm. In: AAAI (1992)
Quinn, J.A., Sugiyama, M.: A least-squares approach to anomaly detection in static and sequential data. Pattern Recognit. Lett. 40, 36–40 (2014)
Vapnik, V.N.: The Nature of Statistical Learning Theory. Springer-Verlag, Heidelberg (1995). https://doi.org/10.1007/978-1-4757-3264-1
Schölkopf, B., Smola, A.J., Williamson, R.C., Bartlett, P.L.: New support vector algorithms. Neural Comput. 12, 1207–1245 (2000)
Sugiyama, M.: Superfast-trainable multi-class probabilistic classifier by least-squares posterior fitting. IEICE Trans. Inf. Syst. 93, 2690–2701 (2010)
Sun, Y., Kamel, M.S., Wong, A.K., Wang, Y.: Cost-sensitive boosting for classification of imbalanced data. Pattern Recognit. 40, 3358–3378 (2007)
Acknowledgements
This work was supported by the Slovak Research and Development Agency under contract No. APVV-15-0358.
Author information
Authors and Affiliations
Corresponding author
Editor information
Editors and Affiliations
Rights and permissions
Copyright information
© 2018 Springer Nature Switzerland AG
About this paper
Cite this paper
Drotár, P., Gnip, P., Zoričak, M., Gazda, V. (2018). Single-Class Bankruptcy Prediction Based on the Data from Annual Reports. In: Yin, H., Camacho, D., Novais, P., Tallón-Ballesteros, A. (eds) Intelligent Data Engineering and Automated Learning – IDEAL 2018. IDEAL 2018. Lecture Notes in Computer Science(), vol 11314. Springer, Cham. https://doi.org/10.1007/978-3-030-03493-1_37
Download citation
DOI: https://doi.org/10.1007/978-3-030-03493-1_37
Published:
Publisher Name: Springer, Cham
Print ISBN: 978-3-030-03492-4
Online ISBN: 978-3-030-03493-1
eBook Packages: Computer ScienceComputer Science (R0)