Open Science Research Excellence
%0 Journal Article
%A Hyunchul Ahn and  Kyoung-Jae Kim
%D 2011 
%J  International Journal of Social, Behavioral, Educational, Economic, Business and Industrial Engineering
%B World Academy of Science, Engineering and Technology
%I International Science Index 60, 2011
%T Corporate Credit Rating using Multiclass Classification Models with order Information
%V 60
%X Corporate credit rating prediction using statistical and
artificial intelligence (AI) techniques has been one of the attractive
research topics in the literature. In recent years, multiclass
classification models such as artificial neural network (ANN) or
multiclass support vector machine (MSVM) have become a very
appealing machine learning approaches due to their good
performance. However, most of them have only focused on classifying
samples into nominal categories, thus the unique characteristic of the
credit rating - ordinality - has been seldom considered in their
approaches. This study proposes new types of ANN and MSVM
classifiers, which are named OMANN and OMSVM respectively.
OMANN and OMSVM are designed to extend binary ANN or SVM
classifiers by applying ordinal pairwise partitioning (OPP) strategy.
These models can handle ordinal multiple classes efficiently and
effectively. To validate the usefulness of these two models, we applied
them to the real-world bond rating case. We compared the results of
our models to those of conventional approaches. The experimental
results showed that our proposed models improve classification
accuracy in comparison to typical multiclass classification techniques
with the reduced computation resource.
%P 1783 - 1788