Country Risk Prediction with Machine Learning Techniques

Abstract

Country risk assessment, in the most general sense, is a measure of the foreign aid a country can receive and the risk the investors will face. Therefore, the related risk has to be measured by making rather sensitive predictions with a procedure where economical, financial and political risks are taken into account. The prediction method must be chosen with great accurateness and definitely supported with different methods. To that end, LRA, KNN, CART and DVM methods, which produce good estimation result and frequently used, are preferred in country risk predictions. Different macroeconomic indicators of 75 countries between the years 2015 and 2019 are used to train the prediction model. According to the findings of the study, it can be said that quite successful prediction results are produced with all the chosen methods. When different assessment criteria are taken into account and each machine learning algorithm are repeated 100 times, it is seen that the KNN algorithm is the best method to produce results. The following methods can be arrayed as DVM, LRA and CART.

Keywords

• country risk
• machine learning
• support vector machine
• k-nearest neighbor
• logistic regression
• decision trees

Makine Öğrenmesi Teknikleri ile Ülke Riski Tahmini

Abstract

Ülke riski değerlendirmesi en genel anlamıyla bir ülkenin alabileceği dış yardımların ve yatırımcıların karşı karşıya kalacağı riskin bir ölçüsüdür. Bu sebeple ülke riskinin, ekonomik, finansal ve politik risk unsurlarının birlikte ele alındığı bir prosedürle oldukça hassas tahminler yapılarak ölçülmesi gerekmektedir. Tahmin yöntemi büyük bir titizlikle tercih edilmeli ve mutlaka farklı yöntemler ile desteklenmelidir. Bu amaçla çalışmada, iyi tahmin sonuçları üreten ve sıklıkla kullanılan LRA, KNN, CART ve DVM yöntemleri tercih edilmiştir. Tahmin modelini eğitmek için 2015-2019 yılları arasında 75 ülkenin farklı makroekonomik göstergeleri kullanılmıştır. Çalışmanın bulgularına göre tercih edilen tüm yöntemler ile oldukça başarılı tahmin sonuçlarının üretildiği söylenebilir. Farklı değerlendirme kriterlerinin ele alındığı ve her bir makine öğrenmesi algoritmasının 100 kez tekrar edildiği durumda, en iyi sonucu veren yöntem KNN algoritması olduğu görülmektedir. Takip eden yöntemler ise sırası ile, DVM, LRA ve CART algoritması olarak sıralanabilir.

Keywords

• ülke riski
• makine öğrenmesi
• destek vektör makinesi
• k-yakın komşuluk
• lojistik regresyon
• karar ağaçları

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