Investigating bankruptcy prediction models in the presence of extreme class imbalance and multiple stages of economy

22 Nov 2019Sheikh Rabiul IslamWilliam EberleSheikh K. GhafoorSid C. BundyDouglas A. TalbertAmbareen Siraj

In the area of credit risk analytics, current Bankruptcy Prediction Models (BPMs) struggle with (a) the availability of comprehensive and real-world data sets and (b) the presence of extreme class imbalance in the data (i.e., very few samples for the minority class) that degrades the performance of the prediction model. Moreover, little research has compared the relative performance of well-known BPM's on public datasets addressing the class imbalance problem... (read more)

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