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Developing Medium-size Corporate Credit Rating Systems by the Integration of Financial Model and Non-financial Model  

Park, Cheol-Soo (Dept. of Business Administration, Halla University)
Publication Information
Journal of the Korea Safety Management & Science / v.10, no.2, 2008 , pp. 71-83 More about this Journal
Abstract
Most researches on the corporate credit rating are generally classified into the area of bankruptcy prediction and bond rating. The studies on bankruptcy prediction have focused on improving the performance in binary classification problem, since the criterion variable is categorical, bankrupt or non-bankrupt. The other studies on bond rating have predicted the credit ratings, which was already evaluated by bond rating experts. The financial institute, however, should perform effective loan evaluation and risk management by employing the corporate credit rating model, which is able to determine the credit of corporations. Therefore, in this study we present a medium sized corporate credit rating system by using Artificial Neural Network(ANN) and Analytical Hierarchy Process(AHP). Also, we developed AHP model for credit rating using non-financial information. For the purpose of completed credit rating model, we integrated the ANN and AHP model using both financial information and non-financial information. Finally, the credit ratings of each firm are assigned by the proposed method.
Keywords
Corporate Credit Rating; Neural Networks; Analytical Hierarchy Process;
Citations & Related Records
Times Cited By KSCI : 1  (Citation Analysis)
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