An Artificial Intelligence approach to Shadow Rating

12/20/2019

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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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An Artificial Intelligence approach to Shadow Rating

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An Artificial Intelligence approach to Shadow Rating

Related Research

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