The Predictive Accuracy of Sukuk Ratings; Multinomial Logistic and Neural Network Inferences
ثبت نشده
چکیده
The development of Sukuk market as the alternative to the existing conventional bond market has risen the issue of rating the Sukuk issuance. These credit ratings fulfil a key function of information transmission in capital market. Moreover, Basel Committee for Banking Supervision has now instituted capital charges for credit risk based on credit ratings. Basel II framework allowed the bank to establish capital adequacy requirements based on ratings provided by external credit rating agencies or determine rating of its investment internally for more advance approach. For these reasons, ratings are considered important by issuers, investors, and regulators alike. This study provides an empirical foundation for the investors to estimate the ratings assign using approach from several rating agencies and past researches on bond ratings. It tries to compare the accuracy of two logistic model; Multinomial Logistic Regression and Neural Network to create a model of rating probability from several financial variables.
منابع مشابه
Comparison of artificial neural network with logistic regression in prediction of tendency to surgical intervention in nurses
Introduction: Logistic regression is one of the modeling methods for bipartite dependent variables. On the other hand, artificial neural network is a flexible method with the least limitation. The importance of growing unnecessary beauty surgeries and the importance of prediction and classification made us consider the present study, with the aim of comparing logistic regression and artificial ...
متن کاملارائه مدلی جهت پیش بینی بیماری دیابت با استفاده از شبکه عصبی
Introduction: Meta-heuristic and combined algorithms have a great capability in modelling medical decision making. This study used neural networks in order to predict Type 2 Diabetes (T2D) among high risk individuals. Methods: This study was an applied research. Data from 545 individuals (diabetic and non-diabetic), in Diabetes Clinic of Hamedan University of Medical Sciences, we...
متن کاملComparison of logistic regression and neural network models in predicting the outcome of biopsy in breast cancer from MRI findings
Background: We designed an algorithmic model based on the logistic regression analysis and a non-algorithmic model based on the Artificial Neural Network (ANN). Materials and methods: The ability of these models was compared together in clinical application to differentiate malignant from benign breast tumors in a study group of 161 patients' records. Each patient’s record consisted of 6 subjec...
متن کاملمقایسه قدرت پیش بینی شبکه عصبی مصنوعی با رگرسیون لجستیک چندگانه در تفکیک بیماران دیابتی رتینوپاتی از غیر رتینوپاتی
Background: Diabetes mellitus is a high prevalent disease among the population, and if not controlled, it causes complications and irreparable damage to the eye and cause blindness. This study goal is to investigate the predictive power of multiple logistic regression model and the Artificial Neural Network Multi-layer Perceptron (MLP) in determining patients with and without diabetic...
متن کاملCredit Risk Measurement of Trusted Customers Using Logistic Regression and Neural Networks
The issue of credit risk and deferred bank claims is one of the sensitive issues of banking industry, which can be considered as the main cause of bank failures. In recent years, the economic slowdown accompanied by inflation in Iran has led to an increase in deferred bank claims that could put the country's banking system in serious trouble. Accordingly, the current paper presents a prediction...
متن کامل