Prediction of Corporate Credit Ratings with Machine Learning: Simple Interpretative Models
Author
Abstract
Suggested Citation
Download full text from publisher
References listed on IDEAS
- Marshall E. Blume & Felix Lim & A. Craig MacKinlay, "undated". "The Declining Credit Quality of US Corporate Debt: Myth or Reality?," Rodney L. White Center for Financial Research Working Papers 3-98, Wharton School Rodney L. White Center for Financial Research.
- Parisa Golbayani & Ionuc{t} Florescu & Rupak Chatterjee, 2020. "A comparative study of forecasting Corporate Credit Ratings using Neural Networks, Support Vector Machines, and Decision Trees," Papers 2007.06617, arXiv.org.
- Kaplan, Robert S & Urwitz, Gabriel, 1979. "Statistical Models of Bond Ratings: A Methodological Inquiry," The Journal of Business, University of Chicago Press, vol. 52(2), pages 231-261, April.
- Marshall E. Blume & Felix Lim & A. Craig Mackinlay, 1998. "The Declining Credit Quality of U.S. Corporate Debt: Myth or Reality?," Journal of Finance, American Finance Association, vol. 53(4), pages 1389-1413, August.
- Engin Tas & Ayca Hatice Atli, 2022. "A comparison of SVR and NARX in financial time series forecasting," International Journal of Computational Economics and Econometrics, Inderscience Enterprises Ltd, vol. 12(3), pages 303-320.
- Jens Hilscher & Mungo Wilson, 2017. "Credit Ratings and Credit Risk: Is One Measure Enough?," Management Science, INFORMS, vol. 63(10), pages 3414-3437, October.
- repec:fth:pennfi:67 is not listed on IDEAS
- Ramin P. Baghai & Henri Servaes & Ane Tamayo, 2014.
"Have Rating Agencies Become More Conservative? Implications for Capital Structure and Debt Pricing,"
Journal of Finance, American Finance Association, vol. 69(5), pages 1961-2005, October.
- Servaes, Henri & Baghai, Ramin & Tamayo, Ane, 2011. "Have Rating Agencies Become More Conservative? Implications for Capital Structure and Debt Pricing," CEPR Discussion Papers 8446, C.E.P.R. Discussion Papers.
- Golbayani, Parisa & Florescu, Ionuţ & Chatterjee, Rupak, 2020. "A comparative study of forecasting corporate credit ratings using neural networks, support vector machines, and decision trees," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).
- Marshall E. Blume & Felix Lim & A. Craig MacKinlay, "undated". "The Declining Credit Quality of US Corporate Debt: Myth or Reality?," Rodney L. White Center for Financial Research Working Papers 03-98, Wharton School Rodney L. White Center for Financial Research.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Jaspreet Kaur & Madhu Vij & Ajay Kumar Chauhan, 2023. "Signals influencing corporate credit ratings—a systematic literature review," DECISION: Official Journal of the Indian Institute of Management Calcutta, Springer;Indian Institute of Management Calcutta, vol. 50(1), pages 91-114, March.
- Bo Becker & Victoria Ivashina, 2023.
"Disruption and Credit Markets,"
Journal of Finance, American Finance Association, vol. 78(1), pages 105-139, February.
- Becker, Bo & Ivashina, Victoria, 2019. "Disruption and Credit Markets," CEPR Discussion Papers 13508, C.E.P.R. Discussion Papers.
- Bo Becker & Victoria Ivashina, 2022. "Disruption and Credit Markets," NBER Working Papers 29890, National Bureau of Economic Research, Inc.
- Gregor Dorfleitner & Johannes Grebler, 2020. "The social and environmental drivers of corporate credit ratings: international evidence," Business Research, Springer;German Academic Association for Business Research, vol. 13(3), pages 1343-1415, November.
- Safiullah, Md & Kabir, Md. Nurul & Miah, Mohammad Dulal, 2021. "Carbon emissions and credit ratings," Energy Economics, Elsevier, vol. 100(C).
- Mo, Guiqing & Gao, Zhi & Zhou, Lei, 2021. "China's no-bailout reform: Impact on bond yields and rating standards," Journal of Banking & Finance, Elsevier, vol. 133(C).
- Jiang, Yixiao, 2022. "Credit ratings, financial ratios, and equity risk: A decomposition analysis based on Moody’s, Standard & Poor’s and Fitch’s ratings," Finance Research Letters, Elsevier, vol. 46(PB).
- Ruey-Ching Hwang, 2013. "Forecasting credit ratings with the varying-coefficient model," Quantitative Finance, Taylor & Francis Journals, vol. 13(12), pages 1947-1965, December.
- Hu, Xiaolu & Shi, Jing & Wang, Lafang & Yu, Jing, 2020. "Foreign ownership in Chinese credit ratings industry: Information revelation or certification?," Journal of Banking & Finance, Elsevier, vol. 118(C).
- Samuel B. Bonsall & Brian P. Miller, 2017. "The impact of narrative disclosure readability on bond ratings and the cost of debt," Review of Accounting Studies, Springer, vol. 22(2), pages 608-643, June.
- Koresh Galil & Neta Gilat, 2019.
"Predicting Default More Accurately: To Proxy or Not to Proxy for Default?,"
International Review of Finance, International Review of Finance Ltd., vol. 19(4), pages 731-758, December.
- Neta Sher & Koresh Galil, 2015. "Predicting default more accurately: to proxy or not to proxy for default?," Working Papers 1505, Ben-Gurion University of the Negev, Department of Economics.
- Koresh Galil & Neta Gilat, 2018. "Predicting Default More Accurately: To Proxy Or Not To Proxy For Default," Working Papers 1801, Ben-Gurion University of the Negev, Department of Economics.
- Shen, Chung-Hua & Huang, Yu-Li & Hasan, Iftekhar, 2012. "Asymmetric benchmarking in bank credit rating," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 22(1), pages 171-193.
- Balios, Dimitris & Thomadakis, Stavros & Tsipouri, Lena, 2016. "Credit rating model development: An ordered analysis based on accounting data," Research in International Business and Finance, Elsevier, vol. 38(C), pages 122-136.
- Servaes, Henri & Amiraslani, Hami & Lins, Karl & Tamayo, Ane, 2017. "A Matter of Trust? The Bond Market Benefits of Corporate Social Capital during the Financial Crisis," CEPR Discussion Papers 12321, C.E.P.R. Discussion Papers.
- Demirtas, K. Ozgur & Rodgers Cornaggia, Kimberly, 2013. "Initial credit ratings and earnings management," Review of Financial Economics, Elsevier, vol. 22(4), pages 135-145.
- Xia, Han, 2014. "Can investor-paid credit rating agencies improve the information quality of issuer-paid rating agencies?," Journal of Financial Economics, Elsevier, vol. 111(2), pages 450-468.
- Aggarwal, Nidhi & Singh, Manish K. & Thomas, Susan, 2023. "Do decreases in Distance-to-Default predict rating downgrades?," Economic Modelling, Elsevier, vol. 129(C).
- Bae, Kee-Hong & Driss, Hamdi & Roberts, Gordon S., 2019. "Does competition affect ratings quality? Evidence from Canadian corporate bonds," Journal of Corporate Finance, Elsevier, vol. 58(C), pages 605-623.
- Gerald J. Lobo & Luc Paugam & Hervé Stolowy & Pierre Astolfi, 2017. "The Effect of Business and Financial Market Cycles on Credit Ratings: Evidence from the Last Two Decades," Abacus, Accounting Foundation, University of Sydney, vol. 53(1), pages 59-93, March.
- Kraft, Pepa & Xie, Yuan & Zhou, Ling, 2020. "The intraday timing of rating changes," Journal of Corporate Finance, Elsevier, vol. 60(C).
- Florou, Annita & Kosi, Urska & Pope, Peter F., 2017. "Are international accounting standards more credit relevant than domestic standards?," LSE Research Online Documents on Economics 68202, London School of Economics and Political Science, LSE Library.
More about this item
Keywords
Corporate Ratings; Machine Learning; Classification and Regression Tree; Support Vector Regression; CART; SVR; Size;All these keywords.
JEL classification:
- C45 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Neural Networks and Related Topics
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- G24 - Financial Economics - - Financial Institutions and Services - - - Investment Banking; Venture Capital; Brokerage
- G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bgu:wpaper:2308. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Aamer Abu-Qarn (email available below). General contact details of provider: https://edirc.repec.org/data/edbguil.html .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.