Least squares support vector machines ensemble models for credit scoring

doi:10.1016/j.eswa.2009.05.024

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	Least squares support vector machines ensemble models for credit scoring
	Zhou, Ligang 1; Lai, Kin Keung 1; Yu, Lean 2
	2010
发表期刊	EXPERT SYSTEMS WITH APPLICATIONS
ISSN	0957-4174
卷号	37 期号:1 页码:127-133
摘要	Due to recent financial crisis and regulatory concerns of Basel 11, credit risk assessment is becoming one of the most important topics in the field of financial risk management. Quantitative credit scoring models are widely used tools for credit risk assessment in financial institutions. Although single support vector machines (SVM) have been demonstrated with good performance in classification, a single classifier with a fixed group of training samples and parameters setting may have some kind of inductive bias. One effective way to reduce the bias is ensemble model. In this study, several ensemble models based on least squares support vector machines (LSSVM) are brought forward for credit scoring. The models are tested on two real world datasets and the results show that ensemble strategies can help to improve the performance in some degree and are effective for building credit scoring models. (C) 2009 Elsevier Ltd. All rights reserved.
关键词	Credit scoring Support vector machines Ensemble model
DOI	10.1016/j.eswa.2009.05.024
语种	英语
资助项目	City University of Hong Kong[7002253]
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:000271571000014
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/9679
专题	中国科学院数学与系统科学研究院
通讯作者	Zhou, Ligang
作者单位	1.City Univ Hong Kong, Dept Management Sci, Hong Kong, Hong Kong, Peoples R China 2.Chinese Acad Sci, Inst Syst Sci, Acad Math & Syst Sci, Beijing 100080, Peoples R China
推荐引用方式 GB/T 7714	Zhou, Ligang,Lai, Kin Keung,Yu, Lean. Least squares support vector machines ensemble models for credit scoring[J]. EXPERT SYSTEMS WITH APPLICATIONS,2010,37(1):127-133.
APA	Zhou, Ligang,Lai, Kin Keung,&Yu, Lean.(2010).Least squares support vector machines ensemble models for credit scoring.EXPERT SYSTEMS WITH APPLICATIONS,37(1),127-133.
MLA	Zhou, Ligang,et al."Least squares support vector machines ensemble models for credit scoring".EXPERT SYSTEMS WITH APPLICATIONS 37.1(2010):127-133.