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Variable Subset Selection for Credit Scoring with Support Vector Machines

In: Operations Research Proceedings 2005

Author

Listed:
  • Ralf Stecking

    (University of Bremen)

  • Klaus B. Schebesch

    (University of Bremen)

Abstract

Summary Support Vector Machines (SVM) are very successful kernel based classification methods with a broad range of applications including credit scoring and rating. SVM can use data sets with many variables even when the number of cases is small. However, we are often constrained to reduce the input space owing to changing data availability, cost and speed of computation. We first evaluate variable subsets in the context of credit scoring. Then we apply previous results of using SVM with different kernel functions to a specific subset of credit client variables. Finally, rating of the credit data pool is presented.

Suggested Citation

  • Ralf Stecking & Klaus B. Schebesch, 2006. "Variable Subset Selection for Credit Scoring with Support Vector Machines," Operations Research Proceedings, in: Hans-Dietrich Haasis & Herbert Kopfer & Jörn Schönberger (ed.), Operations Research Proceedings 2005, pages 251-256, Springer.
    • Handle: RePEc:spr:oprchp:978-3-540-32539-0_40
    DOI: 10.1007/3-540-32539-5_40
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