A new fuzzy support vector machine to evaluate credit risk

doi:10.1109/TFUZZ.2005.859320

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	A new fuzzy support vector machine to evaluate credit risk
	Wang, YQ ; Wang, SY ; Lai, KK
	2005-12-01
发表期刊	IEEE TRANSACTIONS ON FUZZY SYSTEMS
ISSN	1063-6706
卷号	13 期号:6 页码:820-831
摘要	Due to recent financial crises and regulatory concerns, financial intermediaries' credit risk assessment is an area of renewed interest in both the academic world and the business community. In this paper, we propose a new fuzzy support vector machine to discriminate good creditors from bad ones. Because in credit scoring areas we usually cannot label one customer as absolutely good who is sure to repay in time, or absolutely bad who will default certainly, our new fuzzy support vector machine treats every sample as both positive and negative classes, but with different memberships. By this way we expect the new fuzzy support vector machine to have more generalization ability, while preserving the merit of insensitive to outliers, as the fuzzy support vector machine (SVM) proposed in previous papers. We reformulate this kind of two-group classification problem into a quadratic programming problem. Empirical tests on three public datasets show that it can have better discriminatory power than the standard support vector machine and the fuzzy support vector machine if appropriate kernel and membership generation method are chosen.
关键词	classification credit scoring fuzzy theory machine learning support vector machine (SVM)
DOI	10.1109/TFUZZ.2005.859320
语种	英语
WOS研究方向	Computer Science ; Engineering
WOS类目	Computer Science, Artificial Intelligence ; Engineering, Electrical & Electronic
WOS记录号	WOS:000233973500008
出版者	IEEE-INST ELECTRICAL ELECTRONICS ENGINEERS INC
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/2208
专题	中国科学院数学与系统科学研究院
通讯作者	Wang, YQ
作者单位	1.Chinese Acad Sci, Acad Math & Syst Sci, Inst Syst Sci, Beijing 100080, Peoples R China 2.Hong Kong Coll Business, Hunan 410082, Peoples R China 3.City Univ Hong Kong, Dept Management Sci, Hong Kong, Hong Kong, Peoples R China
推荐引用方式 GB/T 7714	Wang, YQ,Wang, SY,Lai, KK. A new fuzzy support vector machine to evaluate credit risk[J]. IEEE TRANSACTIONS ON FUZZY SYSTEMS,2005,13(6):820-831.
APA	Wang, YQ,Wang, SY,&Lai, KK.(2005).A new fuzzy support vector machine to evaluate credit risk.IEEE TRANSACTIONS ON FUZZY SYSTEMS,13(6),820-831.
MLA	Wang, YQ,et al."A new fuzzy support vector machine to evaluate credit risk".IEEE TRANSACTIONS ON FUZZY SYSTEMS 13.6(2005):820-831.