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http://dx.doi.org/10.5351/CKSS.2008.15.4.615

Validation Comparison of Credit Rating Models for Categorized Financial Data  

Hong, Chong-Sun (Department of Statistics, Sungkyunkwan University)
Lee, Chang-Hyuk (Research Institute of Applied Statistics, Sungkyunkwan University)
Kim, Ji-Hun (Research Institute of Applied Statistics, Sungkyunkwan University)
Publication Information
Communications for Statistical Applications and Methods / v.15, no.4, 2008 , pp. 615-631 More about this Journal
Abstract
Current credit evaluation models based on only financial data except non-financial data are used continuous data and produce credit scores for the ranking. In this work, some problems of the credit evaluation models based on transformed continuous financial data are discussed and we propose improved credit evaluation models based on categorized financial data. After analyzing and comparing goodness-of-fit tests of two models, the availability of the credit evaluation models for categorized financial data is explained.
Keywords
Credit rating model; categorical data; financial data; performance; stepwise variable selection; validation;
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