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Credit rating analysis based on the network of trading information
KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Mathematical Statistics.
KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Mathematical Statistics.ORCID iD: 0000-0002-6608-0715
KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Optimization and Systems Theory.ORCID iD: 0000-0003-0177-1993
2019 (English)In: The journal of network theory in finance, ISSN 2055-7795, Vol. 5, no 1, p. 47-65Article in journal (Refereed) Published
Abstract [en]

In this paper, we investigate a credit rating problem based on the network of trading information (NoTI). First, several popular tools, such as assortativity analysis, community detection and centrality measurement, are introduced for analyzing the topology structures and properties of the NoTI. Then, the correlation between the characteristics of the network and the credit ratings is investigated to illustrate the feasibility of credit risk analysis based on the NoTI. Sovereign rating based on the world trade network is analyzed as a case study. The correlation between the centrality metrics and the sovereign ratings conducted by Standard & Poor's clearly shows that highly ranked economies with vigorous economic trading links usually have higher credit ratings. Finally, a simulation is conducted to illustrate the degree of improvement in credit rating prediction accuracy if the NoTI is considered as an additional attribute.

Place, publisher, year, edition, pages
Incisive Media , 2019. Vol. 5, no 1, p. 47-65
Keywords [en]
credit rating, centrality, network, sovereign debt, world trade information
National Category
Mathematics
Identifiers
URN: urn:nbn:se:kth:diva-257666DOI: 10.21314/JNTF.2019.050ISI: 000480313800003OAI: oai:DiVA.org:kth-257666DiVA, id: diva2:1348341
Note

QC 20190904

Available from: 2019-09-04 Created: 2019-09-04 Last updated: 2019-09-04Bibliographically approved

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Wang, XimeiDjehiche, BoualemHu, Xiaoming

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CiteExportLink to record
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  • apa
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  • Other locale
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Output format
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