论文标题
通过逻辑分析数据重建主权债务模型
Reconstruction Rating Model of Sovereign Debt by Logical Analysis of Data
论文作者
论文摘要
评级机构提供的主权债务评级衡量了一个国家或投资者的衡量国家的偿付能力。这表明投资中涉及的风险，应以适时的方式正确确定。本研究通过对数据的逻辑分析来重建主权债务评级，这是基于布尔函数理论的。根据二十个世界银行定义的变量，该团体在2012年至2015年期间组织。惠誉评级机构（全球三个大型评级机构之一）被用作案例研究。近似算法对于探索评级方法，纠正Agencys错误以及确定其他非评级国家的估计评级至关重要。结果是每年的决策树。每个国家都被分配给评级。平均而言，该算法在训练集中达到了近98个百分比的匹配评分，在测试集中得到了84个百分比的验证。这是一个相当大的成就。
Sovereign debt ratings provided by rating agencies measure the solvency of a country, as gauged by a lender or an investor. It is an indication of the risk involved in investment, and should be determined correctly and in a well timed manner. The present study reconstructs sovereign debt ratings through logical analysis of data, which is based on the theory of Boolean functions. It organizes groups of countries according to twenty World Bank defined variables for the period 2012 till 2015. The Fitch Rating Agency, one of the three big global rating agencies, is used as a case study. An approximate algorithm was crucial in exploring the rating method, in correcting the agencys errors, and in determining the estimated rating of otherwise non rated countries. The outcome was a decision tree for each year. Each country was assigned a rating. On average, the algorithm reached almost ninety eight percentage matched ratings in the training set, and was verified by eighty four percentage in the test set. This was a considerable achievement.
