RELARM: рейтинговая модель на основе относительных РСА-атрибутов и k-кластеризации
Ирматова Э.А.1
1 Российская академия народного хозяйства и государственной службы при Президенте РФ
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Статья в журнале
Российское предпринимательство *
Том 18, Номер 10 (Май 2017)
* Этот журнал не выпускается в Первом экономическом издательстве
Аннотация:
В статье, следуя широко используемой в распознавании образов концепции относительных атрибутов, дается определение относительных PCA атрибутов для класса объектов, заданных векторами своих параметров. Построена новая рейтинговая модель, RELARM, использующая ранковые функции относительных PCA атрибутов для описания рейтинговых объектов и алгоритм k-кластеризации. Отнесение каждого рассматриваемого объекта к соответствующей его свойствам рейтинговой категории происходит в результате проецирования центров кластеров на специально выбранный рейтинговый вектор. На тестовой модели кредитоспособности суверенных государств показан высокий уровень аппроксимации рейтингов рейтинговых агентств S&P, Moody’s и Fitch рейтингами RELARM.
Ключевые слова: метод главных компонент, кредитный рейтинг, рейтинговая модель, относительные PCA атрибуты, k-кластеризация
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