• Corpus ID: 227013194

Principal Component Analysis and Factor Analysis for Feature Selection in Credit Rating.

  title={Principal Component Analysis and Factor Analysis for Feature Selection in Credit Rating.},
  author={Shenghuan Yang and L. Florescu},
  journal={arXiv: Statistical Finance},
The credit rating is an evaluation of the credit risk of a company that values the ability to pay back the debt and predict the likelihood of the debtor defaulting. There are various features influencing credit rating. Therefore it is very important to select substantive features to explore the main reason for credit rating change. To address this issue, this paper exploits Principal Component Analysis and Factor Analysis as feature selection algorithms to select important features, summarise… 
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