Application of Discriminate Analysis in Credit Ratings

摘要：

　　In this paper, 275 bond issuers are divided different categories according to their historical credit rates, based on which, a Fisher Linear Discriminate Analysis (LDA) model is utilized for their classifications prediction and testing their precision rates.Some significant different indicators in credit ratings are selected from 20 common financial ones by Fisher test, and further construct a Linear Discriminate Function (LDF).In addition, a comparison study shows that LDA prediction with single industry is superior to its counterparties, which demonstrates the importance of discriminating industry and evaluating individually different industry risk.

关键词： Credit rating Fisher test Fisher discriminate analysis Linear discriminate function

作者: Li Hui Lin Changqing

作者单位: School of Statistics, Renmin University of China, Peking, P.R.China, 100872; School of Science and I Dagong Global Credit Rating Corporation , LTD, Peking, P.R.China, 100125

会议类型: 国际会议

会议名称: The 5th Conference on Chinas Economic Operation Risk Management(2011`Shanghai)(第五届中国立信风险管理论坛)

会议地点: 上海

会议语种:英文

页码: 77-88

在线出版日期: 2011-11-04（万方平台首次上网日期，不代表论文的发表时间）