Credit risk analysis using a reliability-based neural network ensemble model

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	Credit risk analysis using a reliability-based neural network ensemble model
	Lai, Kin Keung ; Yu, Lean ; Wang, Shouyang; Zhou, Ligang
	2006
发表期刊	ARTIFICIAL NEURAL NETWORKS - ICANN 2006, PT 2
ISSN	0302-9743
卷号	4132 页码:682-690
摘要	Credit risk analysis is an important topic in the financial risk management. Due to recent financial crises and regulatory concern of Basel II, credit risk analysis has been the major focus of financial and banking industry. An accurate estimation of credit risk could be transformed into a more efficient use of economic capital. In this study, we try to use a triple-phase neural network ensemble technique to design a credit risk evaluation system to discriminate good creditors from bad ones. In this model, many diverse neural network models are first created. Then an uncorrelation maximization algorithm is used to select the appropriate ensemble members. Finally, a reliability-based method is used for neural network ensemble. For further illustration, a publicly credit dataset is used to test the effectiveness of the proposed neural ensemble model.
语种	英语
WOS研究方向	Computer Science
WOS类目	Computer Science, Artificial Intelligence ; Computer Science, Theory & Methods
WOS记录号	WOS:000241475200071
出版者	SPRINGER-VERLAG BERLIN
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/2447
专题	系统科学研究所
通讯作者	Lai, Kin Keung
作者单位	1.Hunan Univ, Coll Business Adm, Changsha 410082, Peoples R China 2.City Univ Hong Kong, Dept Management Sci, Kowloon, Hong Kong, Peoples R China 3.Chinese Acad Sci, Acad Math & Syst Sci, Inst Syst Sci, Beijing 100080, Peoples R China
推荐引用方式 GB/T 7714	Lai, Kin Keung,Yu, Lean,Wang, Shouyang,et al. Credit risk analysis using a reliability-based neural network ensemble model[J]. ARTIFICIAL NEURAL NETWORKS - ICANN 2006, PT 2,2006,4132:682-690.
APA	Lai, Kin Keung,Yu, Lean,Wang, Shouyang,&Zhou, Ligang.(2006).Credit risk analysis using a reliability-based neural network ensemble model.ARTIFICIAL NEURAL NETWORKS - ICANN 2006, PT 2,4132,682-690.
MLA	Lai, Kin Keung,et al."Credit risk analysis using a reliability-based neural network ensemble model".ARTIFICIAL NEURAL NETWORKS - ICANN 2006, PT 2 4132(2006):682-690.