A hybrid KMV model, random forests and rough set theory approach for credit rating

In current credit ratings models, various accounting-based information are usually selected as prediction variables, based on historical information rather than the market’s assessment for future. In the study, we propose credit rating prediction model using market-based information as a predictive variable. In the proposed method, Moody’s KMV (KMV) is employed as a tool to evaluate the market-based information of each corporation. To verify the...