Simplifying credit scoring rules using LVQ + PSO
One of the key elements in the banking industry rely on the appropriate selection of customers. In order to manage credit risk, banks dedicate special efforts in order to classify customers according to their risk. The usual decision making process consists in gathering personal and financial inform...
| Autores: | , , , |
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| Tipo de recurso: | artículo |
| Estado: | Versión enviada para evaluación y publicación |
| Fecha de publicación: | 2017 |
| País: | Argentina |
| Institución: | Comisión de Investigaciones Científicas de la Provincia de Buenos Aires |
| Repositorio: | CIC Digital (CICBA) |
| Idioma: | inglés |
| OAI Identifier: | oai:digital.cic.gba.gob.ar:11746/6602 |
| Acceso en línea: | https://digital.cic.gba.gob.ar/handle/11746/6602 |
| Access Level: | acceso abierto |
| Palabra clave: | Ingenierías y Tecnologías classification credit risk particle swarm optimization learning vector quantization |
| Sumario: | One of the key elements in the banking industry rely on the appropriate selection of customers. In order to manage credit risk, banks dedicate special efforts in order to classify customers according to their risk. The usual decision making process consists in gathering personal and financial information about the borrower. Processing this information can be time consuming, and presents some difficulties due to the heterogeneous structure of data. We offer in this paper an alternative method that is able to classify customers’ profiles from numerical and nominal attributes. The key feature of our method, called LVQ+PSO, is the finding of a reduced set of classifying rules. This is possible, due to the combination of a competitive neural network with an optimization technique. These rules constitute a predictive model for credit risk approval. The reduced quantity of rules makes this method not only useful for credit officers aiming to make quick decisions about granting a credit, but also could act as borrower’s self selection. Our method was applied to an actual database of a credit consumer financial institution in Ecuador. We obtain very satisfactory results. Future research lines are exposed. |
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