PROBABILISTIC NEURAL NETWORKS FOR CREDIT RATING MODELLING

Petr Hájek

Abstract

This paper presents the modelling possibilities of probabilistic neural networks to a complex real-world problem, i.e. credit rating modelling. First, current approaches in credit rating modelling are introduced. Then, probabilistic neural networks are designed to classify US companies and municipalities into rating classes. The input variables are extracted from financial statements and statistical reports in line with previous studies. These variables represent the inputs of probabilistic neural networks, while the rating classes from Standard&Poor’s and Moody’s rating agencies stand for the outputs. Classification accuracies, misclassification costs, and the contributions of input variables are studied for probabilistic neural networks compared to other neural networks models. The results show that the rating classes assigned to bond issuers can be classified accurately with probabilistic neural networks using a limited subset of input variables.

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Paper Citation


in Harvard Style

Hájek P. (2010). PROBABILISTIC NEURAL NETWORKS FOR CREDIT RATING MODELLING . In Proceedings of the International Conference on Fuzzy Computation and 2nd International Conference on Neural Computation - Volume 1: ICNC, (IJCCI 2010) ISBN 978-989-8425-32-4, pages 289-294. DOI: 10.5220/0003062002890294


in Bibtex Style

@conference{icnc10,
author={Petr Hájek},
title={PROBABILISTIC NEURAL NETWORKS FOR CREDIT RATING MODELLING},
booktitle={Proceedings of the International Conference on Fuzzy Computation and 2nd International Conference on Neural Computation - Volume 1: ICNC, (IJCCI 2010)},
year={2010},
pages={289-294},
publisher={SciTePress},
organization={INSTICC},
doi={10.5220/0003062002890294},
isbn={978-989-8425-32-4},
}


in EndNote Style

TY - CONF
JO - Proceedings of the International Conference on Fuzzy Computation and 2nd International Conference on Neural Computation - Volume 1: ICNC, (IJCCI 2010)
TI - PROBABILISTIC NEURAL NETWORKS FOR CREDIT RATING MODELLING
SN - 978-989-8425-32-4
AU - Hájek P.
PY - 2010
SP - 289
EP - 294
DO - 10.5220/0003062002890294