Rough set and scatter search metaheuristic based feature selection for credit scoring

As the credit industry has been growing rapidly, credit scoring models have been widely used by the financial industry during this time to improve cash flow and credit collections. However, a large amount of redundant information and features are involved in the credit dataset, which leads to lower accuracy and higher complexity of the credit scoring model. So, effective feature selection methods are necessary for credit dataset with huge number of features. In this paper, a novel approach, called RSFS, to feature selection based on rough set and scatter search is proposed. In RSFS, conditional entropy is regarded as the heuristic to search the optimal solutions. Two credit datasets in UCI database are selected to demonstrate the competitive performance of RSFS consisted in three credit models including neural network model, J48 decision tree and Logistic regression. The experimental result shows that RSFS has a superior performance in saving the computational costs and improving classification accuracy compared with the base classification methods.     

A hybrid neural network approach for credit scoring

The development of an effective credit scoring model has become a very important issue as the credit industry is confronted with ever‐intensifying competition and aggravating bad debt problems. During the past few years, a substantial number of studies in the field of statistics have been conducted to improve the accuracy of credit scoring models. In order to refine the classification and decrease misclassification, this paper presents a two‐stage model. Focusing on classification, the first stage aims at constructing an artificial neural network (ANN)‐based credit scoring model to categorize applicants into the group of accepted (good) credit and the group of rejected (bad) credit. Switching from classification to reassignment, the second stage proceeds to reduce the Type I error by retrieving the originally rejected good credit applicants to conditional acceptance using the Case‐Based Reasoning (CBR) classification technique. The proposed model (RST–ANN–CBR) is applied to a credit card dataset to verify its effectiveness. As the results indicate, the proposed model is able to achieve more accurate credit scoring than four other methods; more importantly, it is validated to recover potentially lost customers and to increase business revenues.     

基于改进图半监督学习的个人信用评估方法

针对个人信用评估中未标号数据获取容易而已标号数据获取相对困难,以及普遍存在的数据不对称问题,提出了基于改进图半监督学习技术的个人信用评估模型。该模型采用了半监督学习技术,一方面能从大量的未标号数据中学习,避免了个人信用评估中已标号数据相对缺乏造成的泛化能力下降问题;另一方面,通过改进图半监督学习技术,对图半监督迭代结果进行归一化及修改决策边界,有效减小了数据不对称的影响。在UCI的三个信用审核数据集上的评测结果表明,该模型具有明显优于支持向量机和改进前方法的评估效果。     

A trust-based bio-inspired approach for credit lending decisions

Credit scoring computation essentially involves taking into account various financial factors and the previous behavior of the credit requesting person. There is a strong degree of correlation between the compliance level and the credit score of a given entity. The concept of trust has been widely used and applied in the existing literature to determine the compliance level of an entity. However it has not been studied in the context of credit scoring literature. In order to address this shortcoming, in this paper we propose a six-step bio-inspired methodology for trust-based credit lending decisions by credit institutions. The proposed methodology makes use of an artificial neural network-based model to classify the (potential) customers into various categories. To show the applicability and superiority of the proposed algorithm, it is applied to a credit-card dataset obtained from the UCI repository. Due to the varying spectrum of trust levels, we are able to solve the problem of binary credit lending decisions. A trust-based credit scoring approach allows the financial institutions to grant credit-based on the level of trust in potential customers.     

Neighborhood rough set and SVM based hybrid credit scoring classifier

The credit scoring model development has become a very important issue, as the credit industry is highly competitive. Therefore, considerable credit scoring models have been widely studied in the areas of statistics to improve the accuracy of credit scoring during the past few years. This study constructs a hybrid SVM-based credit scoring models to evaluate the applicant’s credit score according to the applicant’s input features: (1) using neighborhood rough set to select input features; (2) using grid search to optimize RBF kernel parameters; (3) using the hybrid optimal input features and model parameters to solve the credit scoring problem with 10-fold cross validation; (4) comparing the accuracy of the proposed method with other methods. Experiment results demonstrate that the neighborhood rough set and SVM based hybrid classifier has the best credit scoring capability compared with other hybrid classifiers. It also outperforms linear discriminant analysis, logistic regression and neural networks.     

基于信用机制的网络用户管理方法研究

网络用户管理是网络管理的重点也是难点,为了进一步提高网络管理的稳定性和可靠性,在分析网络用户上网行为的基础上,提出基于信用机制的网络用户管理方法.以金融领域较为成熟的信用模型对网络用户行为进行信用评估,利用信用值对网络用户进行管理.实验结果表明,利用信用模型的网络管理方法,减轻了网络管理员工作负担,并且提高了网络的稳定性和网络用户管理的有效性,该方法具有良好的鲁棒性和较强的适应能力,为网络管理提供一种新思路.     

A novel hybrid credit scoring model based on ensemble feature selection and multilayer ensemble classification

Credit scoring focuses on the development of empirical models to support the financial decision‐making processes of financial institutions and credit industries. It makes use of applicants' historical data and statistical or machine learning techniques to assess the risk associated with an applicant. However, the historical data may consist of redundant and noisy features that affect the performance of credit scoring models. The main focus of this paper is to develop a hybrid model, combining feature selection and a multilayer ensemble classifier framework, to improve the predictive performance of credit scoring. The proposed hybrid credit scoring model is modeled in three phases. The initial phase constitutes preprocessing and assigns ranks and weights to classifiers. In the next phase, the ensemble feature selection approach is applied to the preprocessed dataset. Finally, in the last phase, the dataset with the selected features is used in a multilayer ensemble classifier framework. In addition, a classifier placement algorithm based on the Choquet integral value is designed, as the classifier placement affects the predictive performance of the ensemble framework. The proposed hybrid credit scoring model is validated on real‐world credit scoring datasets, namely, Australian, Japanese, German‐categorical, and German‐numerical datasets.     

Credit scoring algorithm based on link analysis ranking with support vector machine

Credit scoring is very important in business, especially in banks. We want to describe a person who is a good credit or a bad one by evaluating his/her credit. We systematically proposed three link analysis algorithms based on the preprocess of support vector machine, to estimate an applicant’s credit so as to decide whether a bank should provide a loan to the applicant. The proposed algorithms have two major phases which are called input weighted adjustor and class by support vector machine-based models. In the first phase, we consider the link relation by link analysis and integrate the relation of applicants through their information into input vector of next phase. In the other phase, an algorithm is proposed based on general support vector machine model. A real world credit dataset is used to evaluate the performance of the proposed algorithms by 10-fold cross-validation method. It is shown that the genetic link analysis ranking methods have higher performance in terms of classification accuracy.     

Customer credit scoring based on HMM/GMDH hybrid model

Hidden Markov model (HMM) has made great achievements in many fields such as speech recognition and engineering. However, due to its assumption of state conditional independence between observations, HMM has a very limited capacity for recognizing complex patterns involving more than first-order dependencies in customer relationships management. Group Method of Data Handling (GMDH) could overcome the drawbacks of HMM, so we propose a hybrid model by combining the HMM and GMDH to score customer credit. There are three phases in this model: training HMM with multiple observations, adding GMDH into HMM and optimizing the hybrid model. The proposed hybrid model is compared with other exiting methods in terms of average accuracy, Type I error, Type II error and AUC. Experimental results show that the proposed method has better performance than HMM/ANN in two credit scoring datasets. The implementation of HMM/GMDH hybrid model allows lenders and regulators to develop techniques to measure customer credit risk.     

基于Ext-GBDT集成的类别不平衡信用评分模型

针对现实信用评分业务中样本类别不平衡和代价敏感问题,以及金融机构更期望以得分的方式直观地认识贷款申请人的信用风险的实际需求,提出一种基于Ext-GBDT集成的类别不平衡信用评分模型。使用欠采样的方法从"好"客户(大类)中随机采样多份与全部"坏"客户(小类)等量的样本,分别与全部小类构成训练子集;用不同的训练子集及特征采样和参数扰动的方法训练得到多个差异化的Ext-GBDT子模型;然后使用简单平均法整合子模型的预测概率;最后将信用概率转换为信用评分。在UCI德国信用数据集上,以AUC和代价敏感错误率作为评价指标,与决策树、逻辑回归、朴素贝叶斯、支持向量机、随机森林及其集成模型等当前最为常用的信用评分模型进行对比,验证了该模型的有效性。