On multi-class prediction of issuer credit ratings

DOI10.1002/ASMB.735zbMATH Open1224.91174OpenAlexW4239874317MaRDI QIDQ3077489FDOQ3077489

Authors:

Publication date: 22 February 2011

Published in: Applied Stochastic Models in Business and Industry (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/asmb.735

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zbMATH Keywords

industry effectissuer credit ratingmarket-driven variableoptimal cutoff valueorder probit model

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Credit risk (91G40)

Cites Work

• Title not available (Why is that?)
• Bankruptcy Prediction with Industry Effects

Cited In (12)

• A new ordinal mixed-data sampling model with an application to corporate credit rating levels
• Predicting issuer credit ratings using generalized estimating equations
• Machine learning in corporate credit rating assessment using the expanded audit report
• Multicriteria decision aid models for the prediction of securities class actions: evidence from the banking sector
• Forecasting credit ratings with the varying-coefficient model
• On assessing the relative performance of default predictions
• Automated Credit Rating Prediction in a competitive framework
• Comparing the accuracy of default predictions in the rating industry for different sets of obligors
• Predicting credit ratings and transition probabilities: a simple cumulative link model with firm-specific frailty
• Title not available (Why is that?)
• Model assessment for predictive classification models
• Performance evaluation of least-squares probabilistic classifier for corporate credit rating classification problem

Uses Software

• LIMDEP

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