Variable Selection for Financial Distress Classification Using a Genetic Algorithm
نویسندگان
چکیده
This paper is concerned with the use of a genetic algorithm to select financial ratios for corporate distress classification models. For this purpose, the fitness value associated to a set of ratios is made to reflect the requirements of maximizing the amount of information available for the model and minimizing the collinearity between the model inputs. A case study involving 60 failed and continuing British firms in the period 1997–2000 is used for illustration. The classification model based on ratios selected by the genetic algorithm compares favorably with a model employing ratios usually found in the financial dis-
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