KMS Of Academy of mathematics and systems sciences, CAS
| Least squares support vector machines ensemble models for credit scoring | |
| Zhou, Ligang1; Lai, Kin Keung1; Yu, Lean2 | |
| 2010 | |
| Source Publication | EXPERT SYSTEMS WITH APPLICATIONS
 |
| ISSN | 0957-4174 |
| Volume | 37Issue:1Pages:127-133 |
| Abstract | 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. |
| Keyword | Credit scoring Support vector machines Ensemble model |
| DOI | 10.1016/j.eswa.2009.05.024 |
| Language | 英语 |
| Funding Project | City University of Hong Kong[7002253] |
| WOS Research Area | Computer Science ; Engineering ; Operations Research & Management Science |
| WOS Subject | Computer Science, Artificial Intelligence ; Engineering, Electrical & Electronic ; Operations Research & Management Science |
| WOS ID | WOS:000271571000014 |
| Publisher | PERGAMON-ELSEVIER SCIENCE LTD |
| Citation statistics | |
| Document Type | 期刊论文 |
| Identifier | http://ir.amss.ac.cn/handle/2S8OKBNM/9679 |
| Collection | 中国科学院数学与系统科学研究院 |
| Corresponding Author | Zhou, Ligang |
| Affiliation | 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 |
| Recommended Citation 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. |
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