• 대한안전경영과학회지
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• 제10권2호
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• pp.71-83
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• 2008

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.

• 한국정보시스템학회지:정보시스템연구
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• 제16권3호
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• pp.1-20
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• 2007

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, this study presents a corporate credit rating method using business failure probability map(BFPM) and AHP(Analytic Hierarchy Process). The BFPM enables us to rate the credit of corporations according to business failure probability and data distribution or frequency on each credit rating level. Also, we developed AHP model for credit rating using non-financial information. For the purpose of completed credit rating model, we integrated the BFPM and the AHP model using both financial and non-financial information. Finally, the credit ratings of each firm are assigned by our proposed method. This method will be helpful for the loan evaluators of financial institutes to decide more objective and effective credit ratings.

• 경영과학
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• 제20권2호
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• pp.165-177
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• 2003

This paper presents the prototype of corporate credit rating system using analytic hierarchy process (AHP). Prior studios have proposed various models of credit rating system, but most studies considered only financial information. Financial information, however, is only a small part of corporate information. In this study, the proposed credit rating system integrates both financial and non-financial information. Fifteen corporations are tested for the usefulness of the proposed system.

• KDI Journal of Economic Policy
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• 제28권1호
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• pp.1-47
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• 2006

우리나라의 회사채시장은 양적으로 꾸준한 성장세를 지속하였으나 여전히 질적 성숙이 그에 미치지 못하는 것으로 평가되고 있으며 외환위기 이후에도 대우채, 현대채, 카드채 사태 등의 금융시장 불안을 반복적으로 초래하였다. 회사채시장의 질적 발전이 이루어지지 못한 것은 무엇보다도 관련 인프라의 적절한 구축이 이루어지지 못한데 크게 영향 받은 것으로 판단된다. 특히 신용평가산업은 실제 발행기업의 채무상환능력을 평가하는 정보의 생성기능을 적절하게 담당하지 못한 채 제도의 이식 수준에 머물고 있다. 본 연구는 미국 SEC 및 미국학계에서 제기되고 있는 신용평가사제도 개선 논의를 고려하여 우리나라의 신용평가사제도 개선의 가능성을 모색한다. 특히, 우리나라 특유의 상황에 의해 발생하고 있는 우리나라 신용평가산업 특유의 문제들을 소유 지배구조 및 부수업무 수행에 따르는 이해상충, 역사적 발전과정, 신용등급에 대한 법리적 해석 및 경제 사회적 차이에 따르는 문제로 분류하여 지적하고 대응방향을 제시하였다.

• The Journal of Asian Finance, Economics and Business
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• 제5권4호
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• pp.9-20
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• 2018

Global rating agencies, such as Moody's and S&P, have assigned credit ratings to corporate bonds issued by Japanese firms since 1980s. Local Japanese rating agencies, such as R&I and JCR, have more market share than the global raters. We examine the yield spreads of 1,050 yen-denominated corporate bonds issued by financial firms in Japan from 1998 to 2014 and find no evidence that bonds rated by at least one global agency are associated with a significant reduction in the cost of debt as compared to those rated by only local rating agencies. Unlike non-financial firms, the reputation effect of global rating agencies does not exist for Japanese financial firms. We also observe that firms with less information asymmetry are more likely to acquire ratings from Moody's or S&P. Additionally, the firm's financial profile does not affect its choice to seek out ratings from global raters. Our findings are contradictory to those by Han, Pagano, and Shin (2012), who employ bonds issued by non-financial firms in Japan. Our conjecture is that the asymmetric nature of financial firms makes investors less likely to depend on a credit risk assessment by rating agencies in determining the yields of new bonds.

• The Journal of Asian Finance, Economics and Business
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• 제6권2호
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• pp.25-32
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• 2019

In the Korean capital market, there are three credit rating agencies. Potential credit ratings based on credibility in the financial market are calculated independently for each rating agency. It often happens that despite the fact that the grades of the rating agencies are the same and have the same rating system, their actual ratings are different, even for the same firm. In such circumstances, investors may wonder why. In this study, we assume that the cause is the information environment in which the company operates. The credit ratings of rating agencies are mainly classified into bonds or commercial papers. The bonds are rated primarily for long-term of three years or more, and commercial papers specify ratings for less than one year. The information environment to be verified in this study was observed with a commercial paper. Under the assumption the larger the analyst following is, the more transparent is the information environment, we analyzed the influence of the number of analysts following on the degree to which ratings conflicted among credit rating agencies. The results of our analysis confirmed that opinion conflict among credit rating agencies is clearly reduced for companies with good information environments.

• KSII Transactions on Internet and Information Systems (TIIS)
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• 제15권10호
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• pp.3627-3641
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• 2021

Fintech, which stands for financial technology, is growing fast globally since the economic crisis hit the United States in 2008. Fintech companies are striving to secure a competitive advantage over existing financial services by providing efficient financial services utilizing the latest technologies. Fintech companies can be classified into several areas according to their business solutions. Among the Fintech sector, peer-to-peer (P2P) lending companies are leading the domestic Fintech industry. P2P lending is a method of lending funds directly to individuals or businesses without an official financial institution participating as an intermediary in the transaction. The rapid growth of P2P lending companies has now reached a level that threatens secondary financial markets. However, as the growth rate increases, so does the potential risk factor. In addition to government laws to protect and regulate P2P lending, further measures to reduce the risk of P2P lending accidents have yet to keep up with the pace of market growth. Since most P2P lenders do not implement their own credit rating system, they rely on personal credit scores provided by credit rating agencies such as the NICE credit information service in Korea. However, it is hard for P2P lending companies to figure out the intentional loan default of the borrower since most borrowers' credit scores are not excellent. This study analyzed the voices of telephone conversation between the loan consultant and the borrower in order to verify if it is applicable to determine the personal credit score. Experimental results show that the change in pitch frequency and change in voice pitch frequency can be reliably identified, and this difference can be used to predict the loan defaults or use it to determine the underlying default risk. It has also been shown that parameters extracted from sample voice data can be used as a determinant for classifying the level of personal credit ratings.

• 디지털융복합연구
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• 제13권2호
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• pp.105-113
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• 2015

기업지배구조가 우수하면 기업경영자의 감시역할을 하고 대리비용과 정보비대칭을 감소시킨다. 기업지배구조점수가 높을수록 기업 내부통제시스템과 재무보고 체계가 잘 갖추어져 있으므로 기업 경영이 활성화되고 기업성과가 높아지므로 신용재무평점이 높아질 것이다. 이러한 전제하에 가설을 설정하고 본 연구는 기업지배구조(CGI)가 신용재무평점(CFR)에 어떠한 영향을 미치는지 실증 연구하였다. 연구결과, 기업지배구조(CGI)와 신용재무평점의 관련성은 유의한 양(+)의 영향을 미치는 것으로 나타났다, 회귀계수부호는 기대부호인 양(+)이 값이 나타났다. 이러한 결과 기업지배구조(CGI)가 우수할수록 신용재무평점의 점수가 커질 것이라는 예측과 같은 결과가 나타났다. 본 연구결과는 CGI가 우수할수록 신용재무평점이 커진다는 것이다. 본 연구는 기업의 사회적 책임, 건전한 지배구조와 감시기구를 갖춘 기업이 보다 높은 신용등급을 받을 수 있다는 유용한 지침을 실무 및 연구 분야에 제공해 줄 것으로 기대한다.

• 한국경영과학회:학술대회논문집
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• 한국경영과학회 2000년도 추계학술대회 및 정기총회
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• pp.89-92
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• 2000

The purpose of this thesis is to investigate the information content of commercial paper credit rating changes of Korean firms. The result shows neither sinificant daily abnormal returns nor significant cumulative daily abnormal returns over the test window. This ind icates that commercial paper rating changes are not informative to investors. A sensitivity analysis conducted for the portfolio of subsample shows a similar result. This thesis, however, may contribute to the better operation of Korean financial market by providing several directions to establish credit-based financial transactions.

• Communications for Statistical Applications and Methods
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• 제15권4호
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• pp.615-631
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• 2008

재무자료에 대한 신용평가모형은 각각의 재무변수를 평활한 예측부도율로 변환하여 사용한다. 본 연구에서는 연속형 재무자료를 변환하여 설정된 신용평가모형의 문제점을 살펴보고, 연속형 재무변수를 다양한 형태로 범주화한 신용평가모형들을 제안한다. 범주형 재무자료를 사용해서 개발한 여러 종류의 신용평가모형들의 성과를 다양한 적합성 검증 방법으로 비교하고, 범주형 재무자료를 이용한 신용평가모형의 유용성을 토론한다.