财务报表指标对银行信用评级的影响：来自机器学习和SHAP技术的见解

IF 7.4 2区经济学 Q1 BUSINESS, FINANCE

Finance Research Letters Pub Date : 2025-06-26 DOI:10.1016/j.frl.2025.107758

Min-Jae Lee, Sun-Yong Choi

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引用次数: 0

摘要

本研究探讨财务报表指标对银行信用评级的影响。我们构建了一个包含53家银行和28个关键财务指标的数据集，并使用两个机器学习模型，GBR和LightGBM，来预测基于这些指标的信用评级。为了了解各指标的贡献，我们采用SHapley加性解释（SHAP）来解释预测结果。分析显示，与银行收入结构有关的指标，特别是净利息收入，对信贷评估有重大影响。这一发现强调了银行偿债能力和收入流多样化的关键作用。

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The impact of financial statement indicators on bank credit ratings: Insights from machine learning and SHAP techniques

This study investigates the influence of financial statement indicators on bank credit ratings. We construct a dataset encompassing 53 banks and 28 key financial indicators and employ two machine learning models, GBR and LightGBM, to predict credit ratings based on these indicators. To understand the contributions of the individual indicators, we apply SHapley Additive exPlanations (SHAP) to interpret the forecasting results. The analysis reveals that indicators pertaining to a bank’s revenue structure, particularly net interest income, have a significant impact on credit assessments. This finding underscores the critical role of a bank’s debt repayment capacity and income stream diversification.

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来源期刊

Finance Research Letters BUSINESS, FINANCE-

CiteScore

11.10

自引率

14.40%

发文量

863

期刊介绍： Finance Research Letters welcomes submissions across all areas of finance, aiming for rapid publication of significant new findings. The journal particularly encourages papers that provide insight into the replicability of established results, examine the cross-national applicability of previous findings, challenge existing methodologies, or demonstrate methodological contingencies. Papers are invited in the following areas: Actuarial studies Alternative investments Asset Pricing Bankruptcy and liquidation Banks and other Depository Institutions Behavioral and experimental finance Bibliometric and Scientometric studies of finance Capital budgeting and corporate investment Capital markets and accounting Capital structure and payout policy Commodities Contagion, crises and interdependence Corporate governance Credit and fixed income markets and instruments Derivatives Emerging markets Energy Finance and Energy Markets Financial Econometrics Financial History Financial intermediation and money markets Financial markets and marketplaces Financial Mathematics and Econophysics Financial Regulation and Law Forecasting Frontier market studies International Finance Market efficiency, event studies Mergers, acquisitions and the market for corporate control Micro Finance Institutions Microstructure Non-bank Financial Institutions Personal Finance Portfolio choice and investing Real estate finance and investing Risk SME, Family and Entrepreneurial Finance