Missing data has become an increasingly serious problem in credit risk classification. A one-hot encoding-based preprocessing method is proposed to solve the missing In this paradigm, missing-data first used deal with values fill incomplete dataset. Then classification and regression tree (CART) model applied on completed dataset measure performances of different methods. The experimental results indicate that encoding performs best when rate high. When low, random sample (RS) imputation...

In the financial market, well-performing stocks usually have some specific features in figures. This paper introduces a machine learning method of support vector to construct stock selection model, which can do nonlinear classification stocks. However, accuracy SVM is very sensitive quality training set. To avoid direct use complicated and highly dimensional ratios, we bring principal component analysis (PCA) into model extract low-dimensional efficient feature information, improves...

This paper studies the relationship of financial development and income inequality in China over period 1978-2013. Using structural vector auto-regression (SVAR), empirical results are consistent with G-J hypothesis an inverted U-shaped between inequality. An economy its initial stages would present increasing only a second or even third stage actually decrease. The evidence is valid for two indicators defined to measure scale efficiency development, respectively. Financial reform aimed at...

Abstract Although extensive research has examined the credit risk of real estate enterprises, relationship between political connection enterprises and these enterprises’ not been formally studied. Using panel data 123 listed companies in Chinese stock market from 2008 to 2021, this paper finds a significant positive correlation private their risk. This phenomenon is attributed excessive debt that benefits connections since it may raise any firm. Interestingly, considering 2013 first year...

Investors, researchers, and policy makers have an urgent need to understand the linkages between internet finance traditional financial markets. This study collects corresponding daily industrial indices of banking, security, insurance industries from Wind database depict market in China uses online loan comprehensive interest rate index as a proxy for finance. The empirical results first show that only banking industry mutual causality. Then, using conditional value at risk (CoVaR) measure...

The rapid development of Chinese online loan platforms (OLPs), as well their risks, has attracted widespread attention, increasing the demand for a complete credit rating mechanism. present study establishes indicator system 130 mainstream OLPs that combines 12 quantitative metrics operations similar to commercial bank indicators, including platform transaction volume and average expected rate return. We also consider two qualitative indicators background, namely background guarantee mode,...

This paper proposes a novel nonlinear model for calculating Value-at-Risk (VaR) when the market risk factors of an option portfolio are heavy-tailed. A multivariate mixture normal distributions is used to depict heavy-tailed and accordingly closed form expression moment generating function that can reflect change in value be derived. Moreover, order make use correlation between characteristic function, Fourier-Inversion method adaptive Simpson rule with iterative algorithm numerical...

Purpose – Financial repression refers to any of measures that government employs prevent the financial intermediaries an economy from functioning at their full capacity. On contrary, deepening increased provision services with a wider choice geared all levels society, which is process relieving constraint. With theory and deepening, purpose this paper focus on performance in China its influences financing small- medium-sized enterprises (SMEs). Design/methodology/approach The work procedure...

ABSTRACT In this article we consider operational risk and use data analytics to estimate the credit portfolio risk. Specifically, situations in which managers need make optimal decision on total provision for hedge against potential entire supply chain. We build a new structural model integrated with analyze joint default of portfolio. Our enables maker better assess chain, so that they could determine decisions risk, react timely manner economic environmental changes. propose an efficient...