Application of Deep Neural Networks to assess corporate Credit Rating
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Abstract (arXiv)
Recent literature implements machine learning techniques to assess corporate credit rating based on financial statement reports. In this work, we analyze the performance of four neural network architectures (MLP, CNN, CNN2D, LSTM) in predicting corporate credit rating as issued by Standard and Poor's. We analyze companies from the energy, financial and healthcare sectors in US. The goal of the analysis is to improve application of machine learning algorithms to credit assessment. To this end, we focus on three questions. First, we investigate if the algorithms perform better when using a selected subset of features, or if it is better to allow the algorithms to select features themselves. Second, is the temporal aspect inherent in financial data important for the results obtained by a machine learning algorithm? Third, is there a particular neural network architecture that consistently outperforms others with respect to input features, sectors and holdout set? We create several case studies to answer these questions and analyze the results using ANOVA and multiple comparison testing procedure.
Key facts. Cited by 9 papers in the map (data through 14 Oct 2026). First posted on arXiv 4 Mar 2020.
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Citing papers per year: 2021: 5; 2022: 0; 2023: 2; 2024: 1; 2025: 1.
9 papers.
- 2023Multi-Modal Deep Learning for Credit Rating Prediction Using Text and Numerical Data Streamscited by 13
- 2021Contrastive Pre-training for Imbalanced Corporate Credit Ratingscited by 4
- 2021Adversarial Semi-supervised Learning for Corporate Credit Ratingscited by 2
- 2024The Effects of Data Imbalance Under a Federated Learning Approach for Credit Risk Forecastingcited by 2
- 2021A Sparsity Algorithm with Applications to Corporate Credit Ratingcited by 1
- 2021Explainable Enterprise Credit Rating via Deep Feature Crossing Networkcited by 0
- 2021Applicability of Large Corporate Credit Models to Small Business Risk Assessmentcited by 0
- 2023Corporate Credit Rating: A Surveycited by 0
- 2025CreditARF: A Framework for Corporate Credit Rating with Annual Report and Financial Feature Integrationcited by 0
- 2025CreditARF: A Framework for Corporate Credit Rating with Annual Report and Financial Feature Integration2 Aug 2025
- 2024The Effects of Data Imbalance Under a Federated Learning Approach for Credit Risk Forecasting14 Jan 2024
- 2023Corporate Credit Rating: A Survey19 Sep 2023
- 2023Multi-Modal Deep Learning for Credit Rating Prediction Using Text and Numerical Data Streams21 Apr 2023
- 2021Applicability of Large Corporate Credit Models to Small Business Risk Assessment14 Dec 2021
- 2021A Sparsity Algorithm with Applications to Corporate Credit Rating21 Jul 2021
- 2021Explainable Enterprise Credit Rating via Deep Feature Crossing Network22 May 2021
- 2021Adversarial Semi-supervised Learning for Corporate Credit Ratings4 Apr 2021
- 2021Contrastive Pre-training for Imbalanced Corporate Credit Ratings18 Feb 2021