Optimizing Ensemble Learning to Reduce Misclassification Costs in Credit Risk Scorecards
Author
Abstract
Suggested Citation
Download full text from publisher
References listed on IDEAS
- Panayiota Koulafetis, 2017. "Modern Credit Risk Management," Palgrave Macmillan Books, Palgrave Macmillan, number 978-1-137-52407-2, October.
- Rokach, Lior, 2009. "Taxonomy for characterizing ensemble methods in classification tasks: A review and annotated bibliography," Computational Statistics & Data Analysis, Elsevier, vol. 53(12), pages 4046-4072, October.
- Dumitrescu, Elena & Hué, Sullivan & Hurlin, Christophe & Tokpavi, Sessi, 2022.
"Machine learning for credit scoring: Improving logistic regression with non-linear decision-tree effects,"
European Journal of Operational Research, Elsevier, vol. 297(3), pages 1178-1192.
- Elena Ivona Dumitrescu & Sullivan Hué & Christophe Hurlin & Sessi Tokpavi, 2022. "Machine Learning for Credit Scoring: Improving Logistic Regression with Non Linear Decision Tree Effects," Post-Print hal-03331114, HAL.
- Boxiang Wang & Hui Zou, 2018. "Another look at distance‐weighted discrimination," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 80(1), pages 177-198, January.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Dangxing Chen & Weicheng Ye & Jiahui Ye, 2022. "Interpretable Selective Learning in Credit Risk," Papers 2209.10127, arXiv.org.
- Dangxing Chen & Luyao Zhang, 2023. "Monotonicity for AI ethics and society: An empirical study of the monotonic neural additive model in criminology, education, health care, and finance," Papers 2301.07060, arXiv.org.
- Sun, Weixin & Zhang, Xuantao & Li, Minghao & Wang, Yong, 2023. "Interpretable high-stakes decision support system for credit default forecasting," Technological Forecasting and Social Change, Elsevier, vol. 196(C).
- Al-Amin Abba Dabo & Amin Hosseinian-Far, 2023. "An Integrated Methodology for Enhancing Reverse Logistics Flows and Networks in Industry 5.0," Logistics, MDPI, vol. 7(4), pages 1-26, December.
- Simone Narizzano & Marco Orlandi & Antonio Scalia, 2024. "The Bank of Italy’s statistical model for the credit assessment of non-financial firms," Temi di discussione (Economic working papers) 53, Bank of Italy, Economic Research and International Relations Area.
- Miao Zhu & Ben-Chang Shia & Meng Su & Jialin Liu, 2024. "Consumer Default Risk Portrait: An Intelligent Management Framework of Online Consumer Credit Default Risk," Mathematics, MDPI, vol. 12(10), pages 1-19, May.
- Yusheng Li & Mengyi Sha, 2024. "Two‐stage credit risk prediction framework based on three‐way decisions with automatic threshold learning," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 43(5), pages 1263-1277, August.
- Chun-Xia Zhang & Jiang-She Zhang & Sang-Woon Kim, 2016. "PBoostGA: pseudo-boosting genetic algorithm for variable ranking and selection," Computational Statistics, Springer, vol. 31(4), pages 1237-1262, December.
- Kleiman, Rachel M. & Characklis, Gregory W. & Kern, Jordan D., 2022. "Managing weather- and market price-related financial risks in algal biofuel production," Renewable Energy, Elsevier, vol. 200(C), pages 111-124.
- Kriebel, Johannes & Stitz, Lennart, 2022. "Credit default prediction from user-generated text in peer-to-peer lending using deep learning," European Journal of Operational Research, Elsevier, vol. 302(1), pages 309-323.
- Nadia Ayed & Khemaies Bougatef, 2024. "Performance Assessment of Logistic Regression (LR), Artificial Neural Network (ANN), Fuzzy Inference System (FIS) and Adaptive Neuro-Fuzzy System (ANFIS) in Predicting Default Probability: The Case of," Computational Economics, Springer;Society for Computational Economics, vol. 64(3), pages 1803-1835, September.
- Hayley Randall & Andreas Artemiou & Xingye Qiao, 2021. "Sufficient dimension reduction based on distance‐weighted discrimination," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 48(4), pages 1186-1211, December.
- Yang Liu & Fei Huang & Lili Ma & Qingguo Zeng & Jiale Shi, 2024. "Credit scoring prediction leveraging interpretable ensemble learning," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 43(2), pages 286-308, March.
- John De Jesús González & Filiberto Enrique Valdés Medina & Maria Luisa Saavedra García, 2021. "Factores de éxito en el financiamiento para Pymes a través del Crowdfunding en México," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 16(2), pages 1-23, Abril - J.
- Shi, Yong & Qu, Yi & Chen, Zhensong & Mi, Yunlong & Wang, Yunong, 2024. "Improved credit risk prediction based on an integrated graph representation learning approach with graph transformation," European Journal of Operational Research, Elsevier, vol. 315(2), pages 786-801.
- Li, Zhe & Liang, Shuguang & Pan, Xianyou & Pang, Meng, 2024. "Credit risk prediction based on loan profit: Evidence from Chinese SMEs," Research in International Business and Finance, Elsevier, vol. 67(PA).
- Barrow, Devon K. & Crone, Sven F., 2016. "A comparison of AdaBoost algorithms for time series forecast combination," International Journal of Forecasting, Elsevier, vol. 32(4), pages 1103-1119.
- Li, Zhiyong & Li, Aimin & Bellotti, Anthony & Yao, Xiao, 2023. "The profitability of online loans: A competing risks analysis on default and prepayment," European Journal of Operational Research, Elsevier, vol. 306(2), pages 968-985.
- Piccialli, Veronica & Romero Morales, Dolores & Salvatore, Cecilia, 2024. "Supervised feature compression based on counterfactual analysis," European Journal of Operational Research, Elsevier, vol. 317(2), pages 273-285.
- Dangxing Chen, 2022. "Two-stage Modeling for Prediction with Confidence," Papers 2209.08848, arXiv.org.
More about this item
Keywords
credit scoring; ensemble learning; financial performance criteria; statistical metrics;All these keywords.
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:gam:jmathe:v:12:y:2024:i:6:p:855-:d:1357214. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: MDPI Indexing Manager (email available below). General contact details of provider: https://www.mdpi.com .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.