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Credit Classification Using Grammatical Evolution.
- Source :
- Informatica (03505596); Oct2006, Vol. 30 Issue 3, p325-335, 11p
- Publication Year :
- 2006
-
Abstract
- Grammatical Evolution (GE) is a novel data driven, model induction tool, inspired by the biological geneto-protein mapping process. This study provides an introduction to GE, and demonstrates the methodology by applying it to model the corporate bond-issuer credit rating process, using information drawn from the financial statements of bond-issuing firms. Financial data and the associated Standard & Poor's issuer-credit ratings of 791 US firms, drawn from the year 1999/2000 are used to train and test the model. The best developed model was found to be able to discriminate in-sample (out-of-sample) between investment-grade and junk bond ratings with an average accuracy of 87.59 (84.92)% across a five-fold cross validation. [ABSTRACT FROM AUTHOR]
Details
- Language :
- English
- ISSN :
- 03505596
- Volume :
- 30
- Issue :
- 3
- Database :
- Supplemental Index
- Journal :
- Informatica (03505596)
- Publication Type :
- Academic Journal
- Accession number :
- 23701635