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A hybrid KMV model, random forests and rough set theory approach for credit rating
14 references·16 citing·40 second hop
A hybrid KMV model, random forests and rough set theory approach for credit rating (2012)A hybrid KMV model, random forests and ro…A corporate credit rating model using multi-class support vector machines with an ordinal pairwise partitioning approach (2011)A corporate credit rating mod…A market-based framework for bankruptcy prediction (2007)A market-based framework for …Default Risk in Equity Returns (2004)Default Risk in Equity ReturnsAssessing the Probability of Bankruptcy (2004)Assessing the Probability of …Credit rating analysis with support vector machines and neural networks: a market comparative study (2003)Credit rating analysis with s…Business failure prediction using rough sets (1999)Business failure prediction u…Bond rating: a nonconservative application of neural networks (1988)Bond rating: a nonconservativ…Bond rating: A non-conservative application of neural networks (1988)Bond rating: A non-conservati…Statistical Models of Bond Ratings: A Methodological Inquiry (1979)Statistical Models of Bond Ra…ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)ON THE PRICING OF CORPORATE D…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…An Alternative Approach to Predicting Corporate Bond Ratings (1970)An Alternative Approach to Pr…What's in a Bond Rating (1969)What's in a Bond RatingThe Determination of Long-Term Credit Standing with Financial Ratios (1966)The Determination of Long-Ter…Elements of Credit Rating: A Hybrid Review and Future Research Agenda (2021)Elements of Credit Rating: A …Credit Risk Management of Property Investments through Multi-Criteria Indicators (2021)Credit Risk Management of Pro…The application of PROMETHEE multi-criteria decision aid in financial decision making: Case of distress prediction models evaluation (2020)The application of PROMETHEE …Leveraging random forest in micro‐enterprises credit risk modelling for accuracy and interpretability (2020)Leveraging random forest in m…Heterogeneous ensemble learning with feature engineering for default prediction in peer-to-peer lending in China (2019)Heterogeneous ensemble learni…Credit spread approximation and improvement using random forest regression (2019)Credit spread approximation a…Computational approaches and data analytics in financial services: A literature review (2019)Computational approaches and …A multicriteria outranking approach for modeling corporate credit ratings: An application of the Electre Tri-nC method (2018)A multicriteria outranking ap…Multi Criteria Credit Rating Model for Small Enterprise Using a Nonparametric Method (2017)Multi Criteria Credit Rating …Forecasting financial distress for French firms: a comparative study (2017)Forecasting financial distres…Bankruptcy prediction using Partial Least Squares Logistic Regression (2017)Bankruptcy prediction using P…A novel corporate credit rating system based on Student’s-t hidden Markov models (2016)A novel corporate credit rati…Efficiency drivers in Brazilian insurance: A two-stage DEA meta frontier-data mining approach (2015)Efficiency drivers in Brazili…Combining market and accounting-based models for credit scoring using a classification scheme based on support vector machines (2014)Combining market and accounti…Balancing accuracy, complexity and interpretability in consumer credit decision making: A C-TOPSIS classification approach (2013)Balancing accuracy, complexit…Hybrid models based on rough set classifiers for setting credit rating decision rules in the global banking industry (2012)Hybrid models based on rough …Investment Analysis and Portfolio Management. (1969)Common Stock Returns and Rating Changes: A Methodological Comparison (1982)Credit Ratings and Stock Liquidity (2005)Financial Ratios As Predictors of Failure (1966)Comparison of Bayesian and regression approaches to the study of information processing in judgment (1971)Linear models in decision making. (1974)Determinants and Impact of Sovereign Credit Ratings (1996)The Long‐Run Stock Returns Following Bond Ratings Changes (2001)Does Corporate Social Responsibility (CSR) Improve Credit Ratings? Evidence from Geographic Identification (2013)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Theory of rational option pricing (2005)A Discriminant Analysis of Predictors of Business Failure (1972)Managerial Applications of Neural Networks: The Case of Bank Failure Predictions (1992)Bankruptcy prediction using support vector machine with optimal choice of kernel function parameters (2005)Credit scoring with a data mining approach based on support vector machines (2006)Consumer credit-risk models via machine-learning algorithms (2010)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Option pricing when underlying stock returns are discontinuous (1976)The valuation of options for alternative stochastic processes (1976)An equilibrium characterization of the term structure (1977)FINANCIAL RATIOS, DISCRIMINANT ANALYSIS AND THE PREDICTION OF CORPORATE BANKRUPTCY (1968)Financial Ratios and the Probabilistic Prediction of Bankruptcy (1980)Preference disaggregation: 20 years of MCDA experience (2001)Predicting corporate bankruptcy: where we stand? (2006)Ensemble boosted trees with synthetic features generation in application to bankruptcy prediction (2016)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)Credit Spreads and Business Cycle Fluctuations (2012)… and the Cross-Section of Expected Returns (2015)Determinants and Impact of Sovereign Credit Ratings (1996)Determinants and Impact of Sovereign Credit Ratings (2007)Multi-period corporate default prediction with stochastic covariates (2006)Forecasting Default with the Merton Distance to Default Model (2008)The impact of corporate social responsibility on the cost of bank loans (2010)A Model-Selection Approach to Assessing the Information in the Term Structure Using Linear Models and Artificial Neural Networks (1995)An artificial neural network-GARCH model for international stock return volatility (1997)Forecasting exchange rates using general regression neural networks (2000)
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References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1974ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*10,779 cited
  • 2004Default Risk in Equity Returns1,997 cited
  • 2004Assessing the Probability of Bankruptcy1,357 cited
  • 2003Credit rating analysis with support vector machines and neural networks: a market comparative study1,017 cited
  • 1979Statistical Models of Bond Ratings: A Methodological Inquiry651 cited
  • 1999Business failure prediction using rough sets493 cited
  • 1966The Determination of Long-Term Credit Standing with Financial Ratios407 cited
  • 1988Bond rating: A non-conservative application of neural networks268 cited
  • 1969What's in a Bond Rating218 cited
  • 1988Bond rating: a nonconservative application of neural networks213 cited
  • 1970An Alternative Approach to Predicting Corporate Bond Ratings203 cited
  • 2011A corporate credit rating model using multi-class support vector machines with an ordinal pairwise partitioning approach165 cited
  • 2007A market-based framework for bankruptcy prediction154 cited

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  • 2018A multicriteria outranking approach for modeling corporate credit ratings: An application of the Electre Tri-nC method

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128 cited
  • 2017Bankruptcy prediction using Partial Least Squares Logistic Regression100 cited
  • 2015Efficiency drivers in Brazilian insurance: A two-stage DEA meta frontier-data mining approach100 cited
  • 2020The application of PROMETHEE multi-criteria decision aid in financial decision making: Case of distress prediction models evaluation82 cited
  • 2020Leveraging random forest in micro‐enterprises credit risk modelling for accuracy and interpretability81 cited
  • 2012Hybrid models based on rough set classifiers for setting credit rating decision rules in the global banking industry79 cited
  • 2019Computational approaches and data analytics in financial services: A literature review67 cited
  • 2013Balancing accuracy, complexity and interpretability in consumer credit decision making: A C-TOPSIS classification approach62 cited
  • 2016A novel corporate credit rating system based on Student’s-t hidden Markov models59 cited
  • 2019Credit spread approximation and improvement using random forest regression59 cited
  • 2017Forecasting financial distress for French firms: a comparative study54 cited
  • 2014Combining market and accounting-based models for credit scoring using a classification scheme based on support vector machines46 cited
  • 2017Multi Criteria Credit Rating Model for Small Enterprise Using a Nonparametric Method36 cited
  • 2021Elements of Credit Rating: A Hybrid Review and Future Research Agenda36 cited
  • 2021Credit Risk Management of Property Investments through Multi-Criteria Indicators36 cited
  • 2019Heterogeneous ensemble learning with feature engineering for default prediction in peer-to-peer lending in China34 cited