The predictive accuracy of Sukuk ratings; Multinomial Logistic and Neural Network inferences
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Summary
This study provides an empirical foundation for the investors to estimate the ratings assigned using the approach from several rating agencies and past researches on bond ratings by comparing the accuracy of two logistic models; Multinomial Logistic Regression and Neural Network to create a model of rating probability from several financial variables.
- Type
- article
- Published
- 2015-09-01
- Cited by
- 46
- References
- 110
- OpenAlex
- https://openalex.org/W221530583
- Semantic Scholar
- https://api.semanticscholar.org/CorpusID:185473
Keywords
Multinomial logistic regression, Credit rating, Bond credit rating, Issuer, Actuarial science
References
- Predicting Credit Rating and Credit Rating Changes: A New Approach
- Corporate Bond Rating Using Neural Networks
- Logistic Regression Models
- Advanced and Multivariate Statistical Methods: Practical Application and Interpretation
- Information content of bond ratings
- An introduction to categorical data analysis
- Bond rating: a nonconservative application of neural networks
- THE INFORMATIONAL CONTENT OF BOND RATINGS
- Stability of ratings transitions
- Neural Networks for Statistical Modeling
- Bond rating using support vector machine
- Understanding neural networks and fuzzy logic - basic concepts and applications
- Determinants of Financial Distress of ST and PT Companies: A Panel Analysis of Chinese Listed Companies
- Financial Ratios and Credit Risk: The Selection of Financial Ratio Covenants in Debt Contracts
- Predicting the Bond Ratings of S&P 500 Firms
- DATA MINING AND KNOWLEDGE DISCOVERY IN DATABASES — AN OVERVIEW
- Prediction of Corporate Financial Distress: Evidence from Malaysian Listed Firms during the Asian Financial Crisis
- THE SENSITIVITY OF PREDICTION MODELS TO THE NON-NORMALITY OF BOUNDED AND UNBOUNDED FINANCIAL RATIOS☆
- Predicting bond ratings using publicly available information
- Neural Networks: A New Tool for Predicting Thrift Failures
Cited by
- Artificial neural networks in business: Two decades of research
- Issues in Islamic banking and finance: Islamic banks, Shari’ah-compliant investment and sukuk
- The (little) difference that makes all the difference between Islamic and conventional bonds
- Dependence structure between sukuk (Islamic bonds) and stock market conditions: An empirical analysis with Archimedean copulas
- Stock price trend prediction using Bayesian regularised radial basis function network model
- Do Islamic Bond (Sukuk) Prices Reflect Financial and Policy Uncertainty? A Quantile Regression Approach
- Exploring international economic integration through sukuk market connectivity: A network perspective
- A tripartite inquiry into volatility-efficiency-integration nexus - case of emerging markets
- The effects of board attributes on Sukuk rating
- Identifying the determinants of Malaysian corporate Sukuk rating
- Assessing the Credit Risk of Corporate Bonds Based on Factor Analysis and Logistic Regress Analysis Techniques: Evidence from New Energy Enterprises in China
- A Review of Islamic Investment Literature
- Pengaruh leverage, ukuran perusahaan, Profitabilitas, dan likuiditas terhadap Peringkat obligasi syariah
- Issuers’ Insight for Identifying Choice of Sukuk Structuring
- A bibliometric review of sukuk literature
- Feature Selection for Financial Data Classification: Islamic Finance Application
- Developing financial disclosure quality in sukuk and bond market: Evidence from Indonesia, Malaysia, and Australia
- Sukuk and Bond Puzzle: An Analysis with Characteristics Matched Portfolios
- Description Of Ijareh Sukuk Rating Dimensions In Iranian Capital Market
- Management and monitoring of the displaced commercial risk: a prescriptive approach
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