• Information Systems Review
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• v.16 no.3
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• pp.161-177
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• 2014

Corporate credit rating assessment consists of complicated processes in which various factors describing a company are taken into consideration. Such assessment is known to be very expensive since domain experts should be employed to assess the ratings. As a result, the data-driven corporate credit rating prediction using statistical and artificial intelligence (AI) techniques has received considerable attention from researchers and practitioners. In particular, statistical methods such as multiple discriminant analysis (MDA) and multinomial logistic regression analysis (MLOGIT), and AI methods including case-based reasoning (CBR), artificial neural network (ANN), and multiclass support vector machine (MSVM) have been applied to corporate credit rating.2) Among them, MSVM has recently become popular because of its robustness and high prediction accuracy. In this study, we propose a novel optimized MSVM model, and appy it to corporate credit rating prediction in order to enhance the accuracy. Our model, named 'GAMSVM (Genetic Algorithm-optimized Multiclass Support Vector Machine),' is designed to simultaneously optimize the kernel parameters and the feature subset selection. Prior studies like Lorena and de Carvalho (2008), and Chatterjee (2013) show that proper kernel parameters may improve the performance of MSVMs. Also, the results from the studies such as Shieh and Yang (2008) and Chatterjee (2013) imply that appropriate feature selection may lead to higher prediction accuracy. Based on these prior studies, we propose to apply GAMSVM to corporate credit rating prediction. As a tool for optimizing the kernel parameters and the feature subset selection, we suggest genetic algorithm (GA). GA is known as an efficient and effective search method that attempts to simulate the biological evolution phenomenon. By applying genetic operations such as selection, crossover, and mutation, it is designed to gradually improve the search results. Especially, mutation operator prevents GA from falling into the local optima, thus we can find the globally optimal or near-optimal solution using it. GA has popularly been applied to search optimal parameters or feature subset selections of AI techniques including MSVM. With these reasons, we also adopt GA as an optimization tool. To empirically validate the usefulness of GAMSVM, we applied it to a real-world case of credit rating in Korea. Our application is in bond rating, which is the most frequently studied area of credit rating for specific debt issues or other financial obligations. The experimental dataset was collected from a large credit rating company in South Korea. It contained 39 financial ratios of 1,295 companies in the manufacturing industry, and their credit ratings. Using various statistical methods including the one-way ANOVA and the stepwise MDA, we selected 14 financial ratios as the candidate independent variables. The dependent variable, i.e. credit rating, was labeled as four classes: 1(A1); 2(A2); 3(A3); 4(B and C). 80 percent of total data for each class was used for training, and remaining 20 percent was used for validation. And, to overcome small sample size, we applied five-fold cross validation to our dataset. In order to examine the competitiveness of the proposed model, we also experimented several comparative models including MDA, MLOGIT, CBR, ANN and MSVM. In case of MSVM, we adopted One-Against-One (OAO) and DAGSVM (Directed Acyclic Graph SVM) approaches because they are known to be the most accurate approaches among various MSVM approaches. GAMSVM was implemented using LIBSVM-an open-source software, and Evolver 5.5-a commercial software enables GA. Other comparative models were experimented using various statistical and AI packages such as SPSS for Windows, Neuroshell, and Microsoft Excel VBA (Visual Basic for Applications). Experimental results showed that the proposed model-GAMSVM-outperformed all the competitive models. In addition, the model was found to use less independent variables, but to show higher accuracy. In our experiments, five variables such as X7 (total debt), X9 (sales per employee), X13 (years after founded), X15 (accumulated earning to total asset), and X39 (the index related to the cash flows from operating activity) were found to be the most important factors in predicting the corporate credit ratings. However, the values of the finally selected kernel parameters were found to be almost same among the data subsets. To examine whether the predictive performance of GAMSVM was significantly greater than those of other models, we used the McNemar test. As a result, we found that GAMSVM was better than MDA, MLOGIT, CBR, and ANN at the 1% significance level, and better than OAO and DAGSVM at the 5% significance level.

• Journal of Intelligence and Information Systems
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• v.19 no.1
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• pp.79-94
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• 2013

Recently, the high value added business is steadily growing in the culture and art area. To generated high value from a performance, the satisfaction of audience is necessary. The flow in a critical factor for satisfaction, and it should be induced from audience and measures. To evaluate interest and emotion of audience on contents, producers or investors need a kind of index for the measurement of the flow. But it is neither easy to define the flow quantitatively, nor to collect audience's reaction immediately. The previous studies of the group flow were evaluated by the sum of the average value of each person's reaction. The flow or "good feeling" from each audience was extracted from his face, especially, the change of his (or her) expression and body movement. But it was not easy to handle the large amount of real-time data from each sensor signals. And also it was difficult to set experimental devices, in terms of economic and environmental problems. Because, all participants should have their own personal sensor to check their physical signal. Also each camera should be located in front of their head to catch their looks. Therefore we need more simple system to analyze group flow. This study provides the method for measurement of audiences flow with group synchronization at same time and place. To measure the synchronization, we made real-time processing system using the Differential Image and Group Emotion Analysis (GEA) system. Differential Image was obtained from camera and by the previous frame was subtracted from present frame. So the movement variation on audience's reaction was obtained. And then we developed a program, GEX(Group Emotion Analysis), for flow judgment model. After the measurement of the audience's reaction, the synchronization is divided as Dynamic State Synchronization and Static State Synchronization. The Dynamic State Synchronization accompanies audience's active reaction, while the Static State Synchronization means to movement of audience. The Dynamic State Synchronization can be caused by the audience's surprise action such as scary, creepy or reversal scene. And the Static State Synchronization was triggered by impressed or sad scene. Therefore we showed them several short movies containing various scenes mentioned previously. And these kind of scenes made them sad, clap, and creepy, etc. To check the movement of audience, we defined the critical point, ${\alpha}$and ${\beta}$. Dynamic State Synchronization was meaningful when the movement value was over critical point ${\beta}$, while Static State Synchronization was effective under critical point ${\alpha}$. ${\beta}$ is made by audience' clapping movement of 10 teams in stead of using average number of movement. After checking the reactive movement of audience, the percentage(%) ratio was calculated from the division of "people having reaction" by "total people". Total 37 teams were made in "2012 Seoul DMC Culture Open" and they involved the experiments. First, they followed induction to clap by staff. Second, basic scene for neutralize emotion of audience. Third, flow scene was displayed to audience. Forth, the reversal scene was introduced. And then 24 teams of them were provided with amuse and creepy scenes. And the other 10 teams were exposed with the sad scene. There were clapping and laughing action of audience on the amuse scene with shaking their head or hid with closing eyes. And also the sad or touching scene made them silent. If the results were over about 80%, the group could be judged as the synchronization and the flow were achieved. As a result, the audience showed similar reactions about similar stimulation at same time and place. Once we get an additional normalization and experiment, we can obtain find the flow factor through the synchronization on a much bigger group and this should be useful for planning contents.