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An Artificial Intelligence approach to Shadow Rating

Risk Management 2019-12-23 v1 Machine Learning

Abstract

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.

Keywords

Cite

@article{arxiv.1912.09764,
  title  = {An Artificial Intelligence approach to Shadow Rating},
  author = {Angela Rita Provenzano and Daniele Trifirò and Nicola Jean and Giacomo Le Pera and Maurizio Spadaccino and Luca Massaron and Claudio Nordio},
  journal= {arXiv preprint arXiv:1912.09764},
  year   = {2019}
}

Comments

18 pages, 10 figures, 6 tables

R2 v1 2026-06-23T12:52:18.138Z