Artificial Learning and Support Vector Machines: Default Risk Prediction

The financial crisis that started in 2008 has shown how much work has still to be done in order to precisely predict the bankruptcy of those actors who ask for credit to their banks. In this paper I focus my attention on large companies, using a database kindly provided by Unicredit, one of the most important European banking groups. The size and the complexity of the problem has required the simplification of the database and the use of Principal Component Analysis (PCA) in order to reduce the problem to a dimension that is manageable by the Support Vector Machine (SVM) software chosen for this study. The best configuration found allowed the correct classification of 84% of all companies and such results are found to be higher than many other reported in the literature.