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Credit Scoring Based on the Set-Valued Identification Method
Wang, Ximei1; Hu, Min2,3; Zhao, Yanlong2,3; Djehiche, Boualem1
2020-04-17
Source PublicationJOURNAL OF SYSTEMS SCIENCE & COMPLEXITY
ISSN1009-6124
Pages13
AbstractCredit 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.
KeywordCredit scoring logistic regression model prediction accuracy set-valued model
DOI10.1007/s11424-020-9101-4
Indexed BySCI
Language英语
Funding ProjectNational Key R&D Program of China[2018YFA0703800] ; National Natural Science Foundation of China[61622309] ; Verg Foundation (Sweden)
WOS Research AreaMathematics
WOS SubjectMathematics, Interdisciplinary Applications
WOS IDWOS:000558387300001
PublisherSPRINGER HEIDELBERG
Citation statistics
Document Type期刊论文
Identifierhttp://ir.amss.ac.cn/handle/2S8OKBNM/51998
Collection中国科学院数学与系统科学研究院
Corresponding AuthorZhao, Yanlong
Affiliation1.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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