Comparisons of the corporate credit rating model power under various conditions
기준값 변화에 따른 기업신용평가모형 성능 비교

Jeongcheol Ha, Soojin Kim
2015 Journal of the Korean Data and Information Science Society  
This study aims to compare the model power in developing corporate credit rating models and to suggest a good way to build models based on the characteristic of data. Among many measurement methods, AR is used to measure the model power under various conditions. SAS/MACRO is in use for similar repetitions to reduce time to build models under several combination of conditions. A corporate credit rating model is composed of two sub-models; a credit scoring model and a default prediction model. We
more » ... rediction model. We verify that the latter performs better than the former under various conditions. From the result of size comparisons, models of large size corporate are more powerful and more meaningful in financial viewpoint than those of small size corporate. As a corporate size gets smaller, the gap between sub-models becomes huge and the effect of outliers becomes serious. Keywords: AR, corporate credit rating model, financial model, SAS/MACRO. † This paper is revised based on the master's thesis of Soojin Kim.
doi:10.7465/jkdi.2015.26.6.1207 fatcat:vg74b3fimrdfrljhatwc7pg2ea