Credit classification using grammatical evolution

Informatica (Ljubljana)

Volumn 30, Issue 3, 2006, Pages 325-335

  Brabazon, Anthony ^a   O'Neill, Michael ^b  

^a UNIVERSITY COLLEGE DUBLIN   (Ireland)

^b UNIVERSITY OF LIMERICK   (Ireland)

Author keywords

Bond rating; Credit rating; Grammatical evolution

Indexed keywords

COMPUTER SIMULATION; CONFORMAL MAPPING; DATABASE SYSTEMS; FINANCIAL DATA PROCESSING; INFORMATION ANALYSIS; INVESTMENTS;

BOND ISSUING FIRMS; BOND RATING; CREDIT RATING; GRAMMATICAL EVOLUTION;

CLASSIFICATION (OF INFORMATION);

EID: 33845247327     PISSN: 03505596     EISSN: None     Source Type: Journal    
DOI: None     Document Type: Conference Paper

References (28)

1. O'Neill M. and Ryan C. (2003) Grammatical Evolution: Evolutionary Automatic Programming in an Arbitrary Language. Kluwer Academic Publishers 2003.
2. Bond Market Statistics (2003). New York: The Bond Market Association.
3. Brabazon, A. and O'Neill. M. (2004). Diagnosing Corporate Stability using Grammatical Evolution, International Journal of Applied Mathematics and Computer Science, 14(3), pp. 363-374.
4. Brabazon, A. and O'Neill, M. (2003). Anticipating Bankruptcy Reorganisation from Raw Financial Data using Grammatical Evolution, Proceedings of EvoIASP 2003, Lecture Notes in Computer Science (2611): Applications of Evolutionary Computing, edited by Raidl, G., Meyer, J.A., Middendorf, M., Cagnoni, S., Cardalda, J. J. R., Corne, D. W., Gottlieb, J., Guillot, A., Hart, E., Johnson, C. G., Marchiori, E., pp. 368-378, Berlin: Springer-Verlag.
5. O'Neill, M. and Brabazon, A. (2004). Grammatical Swarm, in Proceedings of the Genetic and Evolutionary Computation Conference GECCO 2004, Lecture Notes in Computer Science (3102), Deb et. al. (eds.), Seattle, USA, June 26-30, 2004, 1, pp. 163-174, Berlin: Springer-Verlag.
6. Shan, Y., McKay, R., Baxter, R., Abbass, H., Essam, D. and Nguyen, H. (2003). Grammar Model Based Program Evolution, in Proceedings of the 2004 IEEE Congress on Evolutionary Computation, 1, pp. 478-485, IEEE Press: New Jersey.
7. Altman, E. (1998). The importance and subtlety of credit rating migration, Journal of Banking & Finance, 22, pp. 1231-1247.
8. Standard and Poor's (2002). Standard and Poor's Rating Services, Statement at US SEC Public Hearing on the Role and Function of Credit Rating Agencies in the US Securities Markets, 15 November 2002.
9. Horrigan, J. (1966). The determination of long term credit standing with financial ratios, Journal of Accounting Research, (supplement 1966), pp. 44-62.
10. Pinches, G. and Mingo, K. (1973). A multivariate analysis of industrial bond ratings, Journal of Finance, 28(1), pp. 1-18.
11. Ederington, H. (1985). Classification models and bond ratings, Financial Review, 20(4), pp. 237-262.
12. Gentry, J., Whitford, D. and Newbold, P. (1988). Predicting industrial bond ratings with a probit model and funds flow components, Financial Review, 23(3), pp. 269-286.
13. Maer, J. and Sen, T. (1997). Predicting bond ratings using neural networks: a comparison with logistic regression, Intelligent Systems in Accounting, Finance and Management, 6, pp. 23-40.
14. Dutta, S. and Shekhar, S. (1988). Bond rating: a nonconservative application of neural networks, Proceedings of IEEE International Conference on Neural Networks, II, pp. 443-450.
15. Fogel, D. (2000). Evolutionary Computation: Towards a new philosophy of machine intelligence, New York: IEEE Press.
16. O'Neill, M. (2001). Automatic Programming in an Arbitrary Language: Evolving Programs in Grammatical Evolution. PhD thesis, University of Limerick, 2001.
17. O'Neill M. and Ryan C. (2001) Grammatical Evolution, IEEE Trans. Evolutionary Computation. 2001.
18. Ryan C., Collins J.J. and O'Neill M. (1998). Grammatical Evolution: Evolving Programs for an Arbitrary Language. Lecture Notes in Computer Science 1391, Proceedings of the First European Workshop on Genetic Programming, pp. 83-95, Springer-Verlag.
19. Koza, J. (1992). Genetic Programming. MIT Press.
20. Lewin, Benjamin. (2000). Genes VII. Oxford University Press.
21. Altman, E. (1993). Corporate Financial Distress and Bankruptcy, New York:John Wiley and Sons Inc.
22. Morris, R. (1997). Early Warning Indicators of Corporate Failure: A critical review of previous research and further empirical evidence, London: Ashgate Publishing Limited.
23. Altman, E. (1968). Financial Ratios, Discriminant Analysis and the Prediction of Corporate Bankruptcy, Journal of Finance, 23, pp. 589-609.
24. Kamstra, M., Kennedy, P. and Suan, T.K. (2001). Combining Bond Rating Forecasts Using Logit, The Financial Review, 37, pp. 75-96.
25. Singleton, J. and Surkan, A. (1991). Modeling the Judgment of Bond Rating Agencies: Artificial Intelligence Applied to Finance, Journal of the Midwest Finance Association, 20, pp. 72-80.
26. Hair, J., Anderson, R., Tatham, R. and Black, W. (1998). Multivariate Data Analysis, Upper Saddle River, New Jersey: Prentice Hall.
27. Breiman, L., Freidman, J., Olshen, R. and Stone, C. (1984). Classification and Regression Trees, New York: Chapman and Hall.
28. Torgo, L. (2000). Partial Linear Trees, in Proceedings of the 17th International Conference on Machine Learning (ICML 2000), Langley, P. (ed), pp. 1007-1014, Morgan Kauffman.