On multiple-class prediction of issuer credit ratings

DOI10.1002/asmb.735zbMath1224.91174OpenAlexW4239874317MaRDI QIDQ3077489

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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

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)

Related Items (5)

Machine learning in corporate credit rating assessment using the expanded audit report ⋮ Predicting credit ratings and transition probabilities: a simple cumulative link model with firm-specific frailty ⋮ Forecasting credit ratings with the varying-coefficient model ⋮ Predicting issuer credit ratings using generalized estimating equations ⋮ Performance evaluation of least-squares probabilistic classifier for corporate credit rating classification problem

Uses Software

• LIMDEP

Cites Work

• Unnamed Item
• Bankruptcy Prediction with Industry Effects

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