An Artificial Intelligence approach to Shadow Rating
December 20, 2019 Β· Declared Dead Β· π Social Science Research Network
"No code URL or promise found in abstract"
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Authors
Angela Rita Provenzano, Daniele TrifirΓ², Nicola Jean, Giacomo Le Pera, Maurizio Spadaccino, Luca Massaron, Claudio Nordio
arXiv ID
1912.09764
Category
q-fin.RM
Cross-listed
cs.LG
Citations
5
Venue
Social Science Research Network
Last Checked
3 months ago
Abstract
We analyse the effectiveness of modern deep learning techniques in predicting credit ratings over a universe of thousands of global corporate entities obligations when compared to most popular, traditional machine-learning approaches such as linear models and tree-based classifiers. Our results show a adequate accuracy over different rating classes when applying categorical embeddings to artificial neural networks (ANN) architectures.
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