KMS Of Academy of mathematics and systems sciences, CAS
| Credit Scoring Based on the Set-Valued Identification Method | |
| Wang, Ximei1; Hu, Min2,3; Zhao, Yanlong2,3; Djehiche, Boualem1 | |
| 2020-04-17 | |
| Source Publication | JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY
 |
| ISSN | 1009-6124 |
| Pages | 13 |
| Abstract | Credit scoring is one of the key problems in financial risk managements. This paper studies the credit scoring problem based on the set-valued identification method, which is used to explain the relation between the individual attribute vectors and classification for the credit worthy and credit worthless lenders. In particular, system parameters are estimated by the set-valued identification algorithm based on a given recognition criteria. In order to illustrate the efficiency of the proposed method, practical experiments are conducted for credit card applicants of Australia and credit card holders from Taiwan, respectively. The empirical results show that the set-valued model has a higher prediction accuracy on both small and large numbers of data set compared with logistic regression model. Furthermore, parameters estimated by the set-valued identification method are more stable, which provide a meaningful and logical explanation for extracting factors that influence the borrowers' credit scorings. |
| Keyword | Credit scoring logistic regression model prediction accuracy set-valued model |
| DOI | 10.1007/s11424-020-9101-4 |
| Indexed By | SCI |
| Language | 英语 |
| Funding Project | National Key R&D Program of China[2018YFA0703800] ; National Natural Science Foundation of China[61622309] ; Verg Foundation (Sweden) |
| WOS Research Area | Mathematics |
| WOS Subject | Mathematics, Interdisciplinary Applications |
| WOS ID | WOS:000558387300001 |
| Publisher | SPRINGER HEIDELBERG |
| Citation statistics | |
| Document Type | 期刊论文 |
| Identifier | http://ir.amss.ac.cn/handle/2S8OKBNM/51998 |
| Collection | 中国科学院数学与系统科学研究院 |
| Corresponding Author | Zhao, Yanlong |
| Affiliation | 1.KTH Royal Inst Technol, Dept Math, S-10044 Stockholm, Sweden 2.Chinese Acad Sci, Acad Math & Syst Sci, Inst Syst Sci, Key Lab Syst & Control, Beijing 100190, Peoples R China 3.Chinese Acad Sci, Sch Math Sci, Beijing 100190, Peoples R China |
| Recommended Citation GB/T 7714 | Wang, Ximei,Hu, Min,Zhao, Yanlong,et al. Credit Scoring Based on the Set-Valued Identification Method[J]. JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY,2020:13. |
| APA | Wang, Ximei,Hu, Min,Zhao, Yanlong,&Djehiche, Boualem.(2020).Credit Scoring Based on the Set-Valued Identification Method.JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY,13. |
| MLA | Wang, Ximei,et al."Credit Scoring Based on the Set-Valued Identification Method".JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY (2020):13. |
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