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Bankruptcy prediction has been widely studied as a binary classification problem using financial ratios methodologies. When calculating the ratios, it is common to confront missing data problem. Thus, this paper proposes a classification method Ensemble Nearest Neighbors (ENN) to solve it. ENN uses different nearest neighbors as ensemble classifiers then make a linear combination of them. Instead of choosing k in original k-Nearest Neighbors algorithm, ENN provides weights to each classifier which makes the method more robust. Moreover, using a adapted distance metric, ENN can be used directly for incomplete data.
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