Credit Rank Research Articles

Corporate bond default prediction using bilateral topic information of credit rating reports

The default of corporate bonds can result in large financial losses as well as irreparable harm to investors’ trust and the economy as a whole, which implies that the identification of corporate bond default must be done promptly and properly. Current studies mainly rely on accounting and/or macroeconomic data and use the credit rank (CR) to disclose the credit status of corporate bonds in the default prediction task. However, the textual data of credit rating reports (CRRs) contain richer and more comprehensive information and are neglected in related work. In this paper, we propose a novel framework that draws on the unstructured data in CRR to predict the default of corporate bonds. We extract the rating opinion sentences (categorized as positive and negative) from the collected CRR files and use latent Dirichlet allocation (LDA) models to mine topic information. The bilateral topic information of positive and negative opinions can reflect the anti-risk ability and potential risk of corporate bonds, respectively, based on which the constructed topic features are used for default prediction. Results on real-world Chinese corporate bonds dataset show that the bilateral topic information of CRR can significantly improve the predicting power of models (LR, SVM, KNN and MLP) under three performance metrics (AUC, KS and H-measure). By analyzing the ranking of topic features using SHAP value, the proposed framework can explain the factors that affect bond defaults, which can provide a basis for the decision-making of investment behavior.

Coordinated Operation of Electricity and Natural Gas Networks with Consideration of Congestion and Demand Response

This work presents a new coordinated operation (CO) framework for electricity and natural gas networks, considering network congestions and demand response. Credit rank (CR) indicator of coupling units is introduced, and gas consumption constraints information of natural gas fired units (NGFUs) is given. Natural gas network operator (GNO) will deliver this information to an electricity network operator (ENO). A major advantage of this operation framework is that no frequent information interaction between GNO and ENO is needed. The entire framework contains two participants and three optimization problems, namely, GNO optimization sub-problem-A, GNO optimization sub-problem-B, and ENO optimization sub-problem. Decision sequence changed from traditional ENO-GNO-ENO to GNO-ENO-GNO in this novel framework. Second-order cone (SOC) relaxation is applied to ENO optimization sub-problem. The original problem is reformulated as a mixed-integer second-order cone programming (MISOCP) problem. For GNO optimization sub-problem, an improved sequential cone programming (SCP) method is applied based on SOC relaxation and the original sub-problem is converted to MISOCP problem. A benchmark 6-node natural gas system and 6-bus electricity system is used to illustrate the effectiveness of the proposed framework. Considering pipeline congestion, CO, with demand response, can reduce the total cost of an electricity network by 1.19%, as compared to −0.48% using traditional decentralized operation with demand response.

Analyzing empirical performance of correlation based feature selection with company credit rank score dataset - Emphasis on KOSPI manufacturing companies -

Analyzing empirical performance of correlation based feature selection with company credit rank score dataset - Emphasis on KOSPI manufacturing companies -

Downward migration credit risk problem: a non-homogeneous backward semi-Markov reliability approach

International organizations evaluate credit risk and rank firms according to risk by assigning them a ‘rating’. The time evolution of a rating can be studied by means of Markov models. Some papers have outlined the problem pertaining to the unsuitable fitting of Markov processes in a credit risk environment. This paper presents a model that overcomes the problems given by the Markov rating models. It includes non-homogeneity, the downward problem and the randomness of time in the transitions of states, thus making it possible to consider the duration inside a state in a complete way. In this paper, both, the transient and asymptotic analyses are presented. The asymptotic analysis is performed by using a mono-unireducible topological structure. Moreover, a real data application is conducted using the historical database of Standard & Poor’s as the source.

Credit risk evaluation using multi-criteria optimization classifier with kernel, fuzzification and penalty factors

With the fast development of financial products and services, bank’s credit departments collected large amounts of data, which risk analysts use to build appropriate credit scoring models to evaluate an applicant’s credit risk accurately. One of these models is the Multi-Criteria Optimization Classifier (MCOC). By finding a trade-off between overlapping of different classes and total distance from input points to the decision boundary, MCOC can derive a decision function from distinct classes of training data and subsequently use this function to predict the class label of an unseen sample. In many real world applications, however, owing to noise, outliers, class imbalance, nonlinearly separable problems and other uncertainties in data, classification quality degenerates rapidly when using MCOC. In this paper, we propose a novel multi-criteria optimization classifier based on kernel, fuzzification, and penalty factors (KFP-MCOC): Firstly a kernel function is used to map input points into a high-dimensional feature space, then an appropriate fuzzy membership function is introduced to MCOC and associated with each data point in the feature space, and the unequal penalty factors are added to the input points of imbalanced classes. Thus, the effects of the aforementioned problems are reduced. Our experimental results of credit risk evaluation and their comparison with MCOC, support vector machines (SVM) and fuzzy SVM show that KFP-MCOC can enhance the separation of different applicants, the efficiency of credit risk scoring, and the generalization of predicting the credit rank of a new credit applicant.

Five Sector Equilibrium Income Determination Model [Demand Side Equation] Part One/Multinational Economic Sector

The recursive expansion of International Economics and multiplier effect of economic variables and other factors on the economics of countries leads us to revise some economic topics. One of the most important of these topics is National Income of countries. It is obvious that the 4 sector equilibrium income determination model is not more accurate and responding especially when we are designing Fiscal and Monetary policies or when we are budgeting. That is, I decided to design models containing more than 4 sectors. First, I begin with a 5 sector model, one more sector that is Multinational Economic sector.The Multinational Economic Sector:Definition: First, we must separate multinational economic sector from Import & Export sector. Here, Multinational economics is an external economics sector excluding Import & Export which contains Capital Outflows and Inflows, Country’s share in International Technology and Science, Exchange Rate, Portion for Investments made by foreign companies in national economic and portion for Investments made by national companies abroad, Sociopolitical Risks, Credit rank of country, Forex, International and multinational Sanctions, Country’s share in joint international investments. We content with these items and do arrange a function for Net Income arising from these items. Then, we add the Net Income Multinational Economics up with 4 sector Model in order to get the equilibrium income and interest rate. The final model would be as follows:Y=C+ I+ G +(X-M)+ (ME) Or Y=C +I +G+ (X-M)+ (ME)NI Or Other Calculated formsRelated Topics and Issues: Would appear on Main Full paper version.