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Classification of Customer’s Credit Risk Using Ensemble learning (Case study: Sepah Bank) (in Persian)

Author

Listed:
  • Nazaraghaei, Mehdi

    (Iran)

  • Ghiasi, Hosein

    (Iran)

  • Asgharkhah Chafi, Mohammad

    (Iran)

Abstract

Banks activities are associated with different kinds of risk such as cresit risk. Considering the limited financial resources of banks to provide facilities, assessment of the ability of repayment of bank customers before granting facilities is one of the most important challenges facing the banking system of the country. Accordingly, in this research, we tried to provide a model for determining factors affecting the credit behavior of bank customers. In this study, using real customer data in Sepah Bank in 2007, research modeling was done using the Neural Network, a fuzzy decision tree. What research innovation can be considered is the use of collective learning methods that are considered in this study to increase the accuracy of the results of the fuzzy decision tree. The results of the research show that customerchr('39')s revenues, along with the customerchr('39')s financial transactions, are the main factors in determining the customerchr('39')s credit risk. The results also show that the fuzzy decision tree using the Begging method has higher accuracy than the neural network method and the conventional fuzzy decision tree.

Suggested Citation

  • Nazaraghaei, Mehdi & Ghiasi, Hosein & Asgharkhah Chafi, Mohammad, 2019. "Classification of Customer’s Credit Risk Using Ensemble learning (Case study: Sepah Bank) (in Persian)," Journal of Monetary and Banking Research (فصلنامه پژوهش‌های پولی-بانکی), Monetary and Banking Research Institute, Central Bank of the Islamic Republic of Iran, vol. 12(39), pages 166-129, May.
    • Handle: RePEc:mbr:jmbres:v:12:y:2019:i:39:p:166-129
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    More about this item

    JEL classification:

    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
    • C45 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Neural Networks and Related Topics
    • H81 - Public Economics - - Miscellaneous Issues - - - Governmental Loans; Loan Guarantees; Credits; Grants; Bailouts

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