Credit Scoring Based on the Set-Valued Identification Method

doi:10.1007/s11424-020-9101-4

	Credit Scoring Based on the Set-Valued Identification Method
	Wang, Ximei 2; Hu, Min 1,3; Zhao, Yanlong 1,3; Djehiche, Boualem 2
刊名	JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY
	2020-04-17
页码	13
关键词	Credit scoring logistic regression model prediction accuracy set-valued model
ISSN号	1009-6124
DOI	10.1007/s11424-020-9101-4
英文摘要	Credit 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.
资助项目	National Key R&D Program of China[2018YFA0703800] ; National Natural Science Foundation of China[61622309] ; Verg Foundation (Sweden)
WOS研究方向	Mathematics
语种	英语
出版者	SPRINGER HEIDELBERG
WOS记录号	WOS:000558387300001
内容类型	期刊论文
源URL	[http://ir.amss.ac.cn/handle/2S8OKBNM/51997]
专题	中国科学院数学与系统科学研究院
通讯作者	Zhao, Yanlong
作者单位	1.Chinese Acad Sci, Sch Math Sci, Beijing 100190, Peoples R China 2.KTH Royal Inst Technol, Dept Math, S-10044 Stockholm, Sweden 3.Chinese Acad Sci, Acad Math & Syst Sci, Inst Syst Sci, Key Lab Syst & Control, Beijing 100190, Peoples R China
推荐引用方式 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.