A study of Taiwan's issuer credit rating systems using support vector machines

Wun Hwa Chen, Jen Ying Shih*

*此作品的通信作者

    研究成果: 雜誌貢獻期刊論文同行評審

    68 引文 斯高帕斯(Scopus)

    摘要

    By providing credit risk information, credit rating systems benefit most participants in financial markets, including issuers, investors, market regulators and intermediaries. In this paper, we propose an automatic classification model for issuer credit ratings, a type of fundamental credit rating information, by applying the support vector machine (SVM) method. This is a novel classification algorithm that is famous for dealing with high dimension classifications. We also use three new variables: stock market information, financial support by the government, and financial support by major shareholders to enhance the effectiveness of the classification. Previous research has seldom considered these variables. The data period of the input variables used in this study covers three years, while most previous research has only considered one year. We compare our SVM model with the back propagation neural network (BP), a well-known credit rating classification method. Our experiment results show that the SVM classification model performs better than the BP model. The accuracy rate (84.62%) is also higher than previous research.

    原文英語
    頁(從 - 到)427-435
    頁數9
    期刊Expert Systems with Applications
    30
    發行號3
    DOIs
    出版狀態已發佈 - 2006 四月

    ASJC Scopus subject areas

    • 工程 (全部)
    • 電腦科學應用
    • 人工智慧

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