Credit Rating Classification Using Self-Organizing Maps
Roger P.G.H. Tan (Robeco Group, The Netherlands), Jan van den Berg (Erasmus University Rotterdam, The Netherlands) and Willem-Max van den Bergh (Erasmus University Rotterdam, The Netherlands)
Copyright: © 2002
In this case study, we apply the Self-Organizing Map (SOM) technique to a financial business problem. The case study is mainly written from an investor’s point of view giving much attention to the insights provided by the unique visualization capabilities of the SOM. The results are compared to results from other, more common, econometric techniques. Because of limitations of space, our description is quite compact in several places. For those interested in more details, we refer to Tan (2000).