A Credit Rating Model for Enterprises Based on Principal Component Analysis and Optimal Partition
A new credit rating model for enterprises based on principal component analysis and optimal partition is presented in this paper. Using the principal component analysis, the comprehensive credit score of each sample is obtained. After sorting the comprehensive credit score descending, the ordered samples series is generated. A clustering analysis of the ordered samples is carried out with the optimal partition method, so the clustering results are obtained definitely. And then, the comprehensive credit score of each optimal partition point is regarded as the threshold to divide the credit grades. Finally, the credit rating for enterprises is achieved. Through a specific example, it is proved that the model proposed by this paper is feasible and effective.
credit risk credit rating principal component analysis optimal partition clustering analysis
Mu Zhang Zongfang Zhou Mu Zhang
School of Management and Economics University of Electronic Science and Technology of China,UESTC Ch School of Finance Guizhou College of Finance and Economics, GZCFE Guiyang, China
国际会议
北京
英文
379-382
2010-08-08（万方平台首次上网日期，不代表论文的发表时间）