The predictive accuracy of Sukuk ratings; Multinomial Logistic and Neural Network inferences
The development of Sukuk market as the alternative to the existing conventional bond market has risen the issue of rating the Sukuk issuance. These credit ratings fulfill a key function of information transmission in capital market. Moreover, Basel Committee for Banking Supervision has now institute...
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| Format: | Article |
| Language: | English English |
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Elsevier
2015
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| Online Access: | http://irep.iium.edu.my/70897/ http://irep.iium.edu.my/70897/7/70897%20The%20Predictive%20Accuracy%20of%20Sukuk%20Ratings.pdf http://irep.iium.edu.my/70897/8/70897%20The%20Predictive%20Accuracy%20of%20Sukuk%20Ratings%20SCOPUS.pdf |
| _version_ | 1848787365799133184 |
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| author | Arundina, Tika Omar, Mohd. Azmi Kartiwi, Mira |
| author_facet | Arundina, Tika Omar, Mohd. Azmi Kartiwi, Mira |
| author_sort | Arundina, Tika |
| building | IIUM Repository |
| collection | Online Access |
| description | The development of Sukuk market as the alternative to the existing conventional bond market has risen the issue of rating the Sukuk issuance. These credit ratings fulfill a key function of information transmission in capital market. Moreover, Basel Committee for Banking Supervision has now instituted capital charges for credit risk based on credit ratings. Basel II framework allowed the bank to establish capital adequacy requirements based on ratings provided by external credit rating agencies or determine rating of its investment internally for more advance approach. For these reasons, ratings are considered important by issuers, investors, and regulators alike. This study provides an empirical foundation for the investors to estimate the ratings assigned using the approach from several rating agencies and past researches on bond ratings. It tries to compare the accuracy of two logistic models; Multinomial Logistic Regression and Neural Network to create a model of rating probability from several financial variables. |
| first_indexed | 2025-11-14T17:23:47Z |
| format | Article |
| id | iium-70897 |
| institution | International Islamic University Malaysia |
| institution_category | Local University |
| language | English English |
| last_indexed | 2025-11-14T17:23:47Z |
| publishDate | 2015 |
| publisher | Elsevier |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | iium-708972019-07-12T03:45:39Z http://irep.iium.edu.my/70897/ The predictive accuracy of Sukuk ratings; Multinomial Logistic and Neural Network inferences Arundina, Tika Omar, Mohd. Azmi Kartiwi, Mira HG Finance HG3368 Islamic Banking and Finance The development of Sukuk market as the alternative to the existing conventional bond market has risen the issue of rating the Sukuk issuance. These credit ratings fulfill a key function of information transmission in capital market. Moreover, Basel Committee for Banking Supervision has now instituted capital charges for credit risk based on credit ratings. Basel II framework allowed the bank to establish capital adequacy requirements based on ratings provided by external credit rating agencies or determine rating of its investment internally for more advance approach. For these reasons, ratings are considered important by issuers, investors, and regulators alike. This study provides an empirical foundation for the investors to estimate the ratings assigned using the approach from several rating agencies and past researches on bond ratings. It tries to compare the accuracy of two logistic models; Multinomial Logistic Regression and Neural Network to create a model of rating probability from several financial variables. Elsevier 2015-09 Article PeerReviewed application/pdf en http://irep.iium.edu.my/70897/7/70897%20The%20Predictive%20Accuracy%20of%20Sukuk%20Ratings.pdf application/pdf en http://irep.iium.edu.my/70897/8/70897%20The%20Predictive%20Accuracy%20of%20Sukuk%20Ratings%20SCOPUS.pdf Arundina, Tika and Omar, Mohd. Azmi and Kartiwi, Mira (2015) The predictive accuracy of Sukuk ratings; Multinomial Logistic and Neural Network inferences. Pacific-Basin Finance Journal, 34. pp. 273-292. ISSN 0927-538X https://www.journals.elsevier.com/pacific-basin-finance-journal 10.1016/j.pacfin.2015.03.002 |
| spellingShingle | HG Finance HG3368 Islamic Banking and Finance Arundina, Tika Omar, Mohd. Azmi Kartiwi, Mira The predictive accuracy of Sukuk ratings; Multinomial Logistic and Neural Network inferences |
| title | The predictive accuracy of Sukuk ratings; Multinomial Logistic and Neural Network inferences |
| title_full | The predictive accuracy of Sukuk ratings; Multinomial Logistic and Neural Network inferences |
| title_fullStr | The predictive accuracy of Sukuk ratings; Multinomial Logistic and Neural Network inferences |
| title_full_unstemmed | The predictive accuracy of Sukuk ratings; Multinomial Logistic and Neural Network inferences |
| title_short | The predictive accuracy of Sukuk ratings; Multinomial Logistic and Neural Network inferences |
| title_sort | predictive accuracy of sukuk ratings; multinomial logistic and neural network inferences |
| topic | HG Finance HG3368 Islamic Banking and Finance |
| url | http://irep.iium.edu.my/70897/ http://irep.iium.edu.my/70897/ http://irep.iium.edu.my/70897/ http://irep.iium.edu.my/70897/7/70897%20The%20Predictive%20Accuracy%20of%20Sukuk%20Ratings.pdf http://irep.iium.edu.my/70897/8/70897%20The%20Predictive%20Accuracy%20of%20Sukuk%20Ratings%20SCOPUS.pdf |