Title A guided data projection technique for classification of sovereign ratings: The case of European Union 27
Authors SÁNCHEZ MONEDERO, JAVIER, CAMPOY MUÑOZ, MARÍA DEL PILAR, Gutierrez, P. A., Hervas-Martinez, C., CAMPOY MUÑOZ, MARÍA DEL PILAR, SÁNCHEZ MONEDERO, JAVIER
External publication No
Means Appl. Soft. Comput.
Scope Article
Nature Científica
JCR Quartile 1
SJR Quartile 1
JCR Impact 2.81000
SJR Impact 1.59200
Area International
Publication date 01/09/2014
ISI 000338706600028
Scopus Id 2-s2.0-84902657288
DOI 10.1016/j.asoc.2014.05.008
Abstract Sovereign rating has had an increasing importance since the beginning of the financial crisis. However, credit rating agencies opacity has been criticised by several authors highlighting the suitability of designing more objective alternative methods. This paper tackles the sovereign credit rating classification problem within an ordinal classification perspective by employing a pairwise class distances projection to build a classification model based on standard regression techniques. In this work the epsilon-SVR is selected as the regressor tool. The quality of the projection is validated through the classification results obtained for four performance metrics when applied to Standard & Poors, Moody's and Fitch sovereign rating data of U27 countries during the period 2007-2010. This validated projection is later used for ranking visualization which might be suitable to build a decision support system. (C) 2014 Elsevier B.V. All rights reserved.
Keywords Ordinal regression; Ordinal classification; Country risk; Sovereign risk; Rating agencies; Financial crisis
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