Communications for Statistical Applications and Methods

The Korean Statistical Society (한국통계학회)
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Validation Comparison of Credit Rating Models for Categorized Financial Data

범주형 재무자료에 대한 신용평가모형 검증 비교

  • Hong, Chong-Sun (Department of Statistics, Sungkyunkwan University) ;
  • Lee, Chang-Hyuk (Research Institute of Applied Statistics, Sungkyunkwan University) ;
  • Kim, Ji-Hun (Research Institute of Applied Statistics, Sungkyunkwan University)
  • 홍종선 (성균관대학교 경제학부 통계학) ;
  • 이창혁 (성균관대학교 응용통계연구소) ;
  • 김지훈 (성균관대학교 응용통계연구소)
  • Published : 2008.07.16
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Abstract

Current credit evaluation models based on only financial data except non-financial data are used continuous data and produce credit scores for the ranking. In this work, some problems of the credit evaluation models based on transformed continuous financial data are discussed and we propose improved credit evaluation models based on categorized financial data. After analyzing and comparing goodness-of-fit tests of two models, the availability of the credit evaluation models for categorized financial data is explained.

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.

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