How Well Does the Vasicek-Basel Airb Model Fit the Data? Evidence from a Long Time Series of Corporate Credit Rating Data

2009 ◽  
Author(s):  
Paul H. Kupiec
Keyword(s):  
Time Series ◽  
Credit Rating ◽  
Model Fit ◽  
Rating Data ◽  
Long Time Series ◽  
Corporate Credit ◽  
Long Time ◽  
Corporate Credit Rating

Identification of best discrimination surface by mixed-integer semi-definite programming for support vector machine

2021 ◽  
Author(s):  
Katsuhiro Tanaka ◽  
Rei Yamamoto
Keyword(s):  
Support Vector Machine ◽  
Credit Rating ◽  
Positive Definite ◽  
Mixed Integer ◽  
Support Vector ◽  
Discrimination Accuracy ◽  
Rating Data ◽  
Corporate Credit ◽  
Quadratic Surface ◽  
Corporate Credit Rating

This paper proposes two improvements to the support vector machine (SVM): (i) extension to a semi-positive definite quadratic surface, which improves the discrimination accuracy; (ii) addition of a variable selection constraint. However, this model is formulated as a mixed-integer semi-definite programming (MISDP) problem, and it cannot be solved easily. Therefore, we propose a heuristic algorithm for solving the MISDP problem efficiently and show its effectiveness by using corporate credit rating data.

Predicting corporate credit rating based on qualitative information of MD&A transformed using document vectorization techniques

2020 ◽  
Vol 54 (2) ◽  
pp. 151-168
Author(s):  
Jinwook Choi ◽  
Yongmoo Suh ◽  
Namchul Jung
Keyword(s):  
Credit Rating ◽  
Prediction Models ◽  
Quantitative Information ◽  
Qualitative Information ◽  
Rating Data ◽  
Content Type ◽  
Financial Variables ◽  
Corporate Credit ◽  
Rating Prediction ◽  
Corporate Credit Rating

PurposeThe purpose of this study is to investigate the effectiveness of qualitative information extracted from firm’s annual report in predicting corporate credit rating. Qualitative information represented by published reports or management interview has been known as an important source in addition to quantitative information represented by financial values in assigning corporate credit rating in practice. Nevertheless, prior studies have room for further research in that they rarely employed qualitative information in developing prediction model of corporate credit rating.Design/methodology/approachThis study adopted three document vectorization methods, Bag-Of-Words (BOW), Word to Vector (Word2Vec) and Document to Vector (Doc2Vec), to transform an unstructured textual data into a numeric vector, so that Machine Learning (ML) algorithms accept it as an input. For the experiments, we used the corpus of Management’s Discussion and Analysis (MD&A) section in 10-K financial reports as well as financial variables and corporate credit rating data.FindingsExperimental results from a series of multi-class classification experiments show the predictive models trained by both financial variables and vectors extracted from MD&A data outperform the benchmark models trained only by traditional financial variables.Originality/valueThis study proposed a new approach for corporate credit rating prediction by using qualitative information extracted from MD&A documents as an input to ML-based prediction models. Also, this research adopted and compared three textual vectorization methods in the domain of corporate credit rating prediction and showed that BOW mostly outperformed Word2Vec and Doc2Vec.

scholarly journals Sea Ice Concentration Products over Polar Regions with Chinese FY3C/MWRI Data

2021 ◽  
Vol 13 (11) ◽  
pp. 2174
Author(s):  
Lijian Shi ◽  
Sen Liu ◽  
Yingni Shi ◽  
Xue Ao ◽  
Bin Zou ◽  
...  
Keyword(s):  
Time Series ◽  
Sea Ice ◽  
Ocean Circulation ◽  
The Arctic ◽  
Retrieval Algorithm ◽  
Atmospheric Effects ◽  
Observation Data ◽  
Long Time Series ◽  
Ice Concentration ◽  
Long Time

Polar sea ice affects atmospheric and ocean circulation and plays an important role in global climate change. Long time series sea ice concentrations (SIC) are an important parameter for climate research. This study presents an SIC retrieval algorithm based on brightness temperature (Tb) data from the FY3C Microwave Radiation Imager (MWRI) over the polar region. With the Tb data of Special Sensor Microwave Imager/Sounder (SSMIS) as a reference, monthly calibration models were established based on time–space matching and linear regression. After calibration, the correlation between the Tb of F17/SSMIS and FY3C/MWRI at different channels was improved. Then, SIC products over the Arctic and Antarctic in 2016–2019 were retrieved with the NASA team (NT) method. Atmospheric effects were reduced using two weather filters and a sea ice mask. A minimum ice concentration array used in the procedure reduced the land-to-ocean spillover effect. Compared with the SIC product of National Snow and Ice Data Center (NSIDC), the average relative difference of sea ice extent of the Arctic and Antarctic was found to be acceptable, with values of −0.27 ± 1.85 and 0.53 ± 1.50, respectively. To decrease the SIC error with fixed tie points (FTPs), the SIC was retrieved by the NT method with dynamic tie points (DTPs) based on the original Tb of FY3C/MWRI. The different SIC products were evaluated with ship observation data, synthetic aperture radar (SAR) sea ice cover products, and the Round Robin Data Package (RRDP). In comparison with the ship observation data, the SIC bias of FY3C with DTP is 4% and is much better than that of FY3C with FTP (9%). Evaluation results with SAR SIC data and closed ice data from RRDP show a similar trend between FY3C SIC with FTPs and FY3C SIC with DTPs. Using DTPs to present the Tb seasonal change of different types of sea ice improved the SIC accuracy, especially for the sea ice melting season. This study lays a foundation for the release of long time series operational SIC products with Chinese FY3 series satellites.

scholarly journals Performance stability of the MODIS and VIIRS LAI algorithms inferred from analysis of long time series of products

2021 ◽  
Vol 260 ◽  
pp. 112438
Author(s):  
Kai Yan ◽  
Jiabin Pu ◽  
Taejin Park ◽  
Baodong Xu ◽  
Yelu Zeng ◽  
...  
Keyword(s):  
Time Series ◽  
Long Time Series ◽  
Long Time

Cloud Properties over the North Slope of Alaska: Identifying the Prevailing Meteorological Regimes

2012 ◽  
Vol 25 (23) ◽  
pp. 8238-8258 ◽  
Author(s):  
Johannes Mülmenstädt ◽  
Dan Lubin ◽  
Lynn M. Russell ◽  
Andrew M. Vogelmann
Keyword(s):  
Time Series ◽  
Climate Model ◽  
North Slope ◽  
Test Cases ◽  
Synoptic Scale ◽  
Long Time Series ◽  
The North ◽  
Cloud Properties ◽  
North Slope Of Alaska ◽  
Long Time

Abstract Long time series of Arctic atmospheric measurements are assembled into meteorological categories that can serve as test cases for climate model evaluation. The meteorological categories are established by applying an objective k-means clustering algorithm to 11 years of standard surface-meteorological observations collected from 1 January 2000 to 31 December 2010 at the North Slope of Alaska (NSA) site of the U.S. Department of Energy Atmospheric Radiation Measurement Program (ARM). Four meteorological categories emerge. These meteorological categories constitute the first classification by meteorological regime of a long time series of Arctic meteorological conditions. The synoptic-scale patterns associated with each category, which include well-known synoptic features such as the Aleutian low and Beaufort Sea high, are used to explain the conditions at the NSA site. Cloud properties, which are not used as inputs to the k-means clustering, are found to differ significantly between the regimes and are also well explained by the synoptic-scale influences in each regime. Since the data available at the ARM NSA site include a wealth of cloud observations, this classification is well suited for model–observation comparison studies. Each category comprises an ensemble of test cases covering a representative range in variables describing atmospheric structure, moisture content, and cloud properties. This classification is offered as a complement to standard case-study evaluation of climate model parameterizations, in which models are compared against limited realizations of the Earth–atmosphere system (e.g., from detailed aircraft measurements).

scholarly journals Analysis algorithm for sky type and ice halo recognition in all-sky images

2019 ◽  
Vol 12 (8) ◽  
pp. 4241-4259 ◽  
Author(s):  
Sylke Boyd ◽  
Stephen Sorenson ◽  
Shelby Richard ◽  
Michelle King ◽  
Morton Greenslit
Keyword(s):  
Time Series ◽  
Image Analysis ◽  
Great Plains ◽  
Detailed Comparison ◽  
Analysis Algorithm ◽  
Long Time Series ◽  
Image Analysis Algorithm ◽  
Long Time ◽  
Atmospheric Radiation Measurement ◽  
Sky Type

Abstract. Halo displays, in particular the 22∘ halo, have been captured in long time series of images obtained from total sky imagers (TSIs) at various Atmospheric Radiation Measurement (ARM) sites. Halo displays form if smooth-faced hexagonal ice crystals are present in the optical path. We describe an image analysis algorithm for long time series of TSI images which scores images with respect to the presence of 22∘ halos. Each image is assigned an ice halo score (IHS) for 22∘ halos, as well as a photographic sky type (PST), which differentiates cirrostratus (PST-CS), partially cloudy (PST-PCL), cloudy (PST-CLD), or clear (PST-CLR) within a near-solar image analysis area. The color-resolved radial brightness behavior of the near-solar region is used to define the discriminant properties used to classify photographic sky type and assign an ice halo score. The scoring is based on the tools of multivariate Gaussian analysis applied to a standardized sun-centered image produced from the raw TSI image, following a series of calibrations, rotation, and coordinate transformation. The algorithm is trained based on a training set for each class of images. We present test results on halo observations and photographic sky type for the first 4 months of the year 2018, for TSI images obtained at the Southern Great Plains (SGP) ARM site. A detailed comparison of visual and algorithm scores for the month of March 2018 shows that the algorithm is about 90 % reliable in discriminating the four photographic sky types and identifies 86 % of all visual halos correctly. Numerous instances of halo appearances were identified for the period January through April 2018, with persistence times between 5 and 220 min. Varying by month, we found that between 9 % and 22 % of cirrostratus skies exhibited a full or partial 22∘ halo.

Sign in / Sign up

Export Citation Format

Share Document