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Predicting Firms’ Credit Ratings Using Ensembles of Artificial Immune Systems and Machine Learning – An Over-Sampling Approach

  • Petr Hájek
  • Vladimír Olej
Part of the IFIP Advances in Information and Communication Technology book series (IFIPAICT, volume 436)

Abstract

This paper examines the classification performance of artificial immune systems on the one hand and machine learning and neural networks on the other hand on the problem of forecasting credit ratings of firms. The problem is realized as a two-class problem, for investment and non-investment rating grades. The dataset is usually imbalanced in credit rating predictions. We address the issue by over-sampling the minority class in the training dataset. The experimental results show that this approach leads to significantly higher classification accuracy. Additionally, the use of the ensembles of classifiers makes the prediction even more accurate.

Keywords

Credit rating artificial immune systems machine learning neural networks classification performance balanced and imbalanced dataset SMOTE AdaBoost 

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Copyright information

© IFIP International Federation for Information Processing 2014

Authors and Affiliations

  • Petr Hájek
    • 1
  • Vladimír Olej
    • 1
  1. 1.Institute of System Engineering and Informatics, Faculty of Economics and AdministrationUniversity of PardubicePardubiceCzech Republic

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