Credit risk assessment with a multistage neural network ensemble learning approach

doi:10.1016/j.eswa.2007.01.009

CSpace

	Credit risk assessment with a multistage neural network ensemble learning approach
	Yu, Lean 1; Wang, Shouyang 1; Lai, Kin Keung 2
	2008-02-01
发表期刊	EXPERT SYSTEMS WITH APPLICATIONS
ISSN	0957-4174
卷号	34 期号:2 页码:1434-1444
摘要	In this study, a multistage neural network ensemble learning model is proposed to evaluate credit risk at the measurement level. The proposed model consists of six stages. In the first stage, a bagging sampling approach is used to generate different training data subsets especially for data shortage. In the second stage, the different neural network models are created with different training subsets obtained from the previous stage. In the third stage, the generated neural network models are trained with different training datasets and accordingly the classification score and reliability value of neural classifier can be obtained. In the fourth stage, a decorrelation maximization algorithm is used to select the appropriate ensemble members. In the fifth stage, the reliability values of the selected neural network models (i.e., ensemble members) are scaled into a unit interval by logistic transformation. In the final stage, the selected neural network ensemble members are fused to obtain final classification result by means of reliability measurement. For illustration, two publicly available credit datasets are used to verify the effectiveness of the proposed multistage neural network ensemble model. (C) 2007 Elsevier Ltd. All rights reserved.
关键词	credit risk assessment neural network ensemble learning bagging reliability
DOI	10.1016/j.eswa.2007.01.009
语种	英语
WOS研究方向	Computer Science ; Engineering ; Operations Research & Management Science
WOS类目	Computer Science, Artificial Intelligence ; Engineering, Electrical & Electronic ; Operations Research & Management Science
WOS记录号	WOS:000253238900064
出版者	PERGAMON-ELSEVIER SCIENCE LTD
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/6645
专题	中国科学院数学与系统科学研究院
通讯作者	Yu, Lean
作者单位	1.Chinese Acad Sci, Inst Syst Sci, Acad Math & Syst Sci, Beijing, Peoples R China 2.City Univ Hong Kong, Dept Management Sci, Kowloon, Hong Kong, Peoples R China
推荐引用方式 GB/T 7714	Yu, Lean,Wang, Shouyang,Lai, Kin Keung. Credit risk assessment with a multistage neural network ensemble learning approach[J]. EXPERT SYSTEMS WITH APPLICATIONS,2008,34(2):1434-1444.
APA	Yu, Lean,Wang, Shouyang,&Lai, Kin Keung.(2008).Credit risk assessment with a multistage neural network ensemble learning approach.EXPERT SYSTEMS WITH APPLICATIONS,34(2),1434-1444.
MLA	Yu, Lean,et al."Credit risk assessment with a multistage neural network ensemble learning approach".EXPERT SYSTEMS WITH APPLICATIONS 34.2(2008):1434-1444.