Ирматова Э.А.Опубликовано в журнале:
Российское предпринимательство
– Том 18, Номер 10 (Май 2017)



Ключевые слова: k-кластеризация, кредитный рейтинг, метод главных компонент, относительные PCA атрибуты, рейтинговая модель


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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.

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