Weight-Selected Attribute Bagging for Credit Scoring
Joint Authors
Li, Jianwu
Wei, Haizhou
Hao, Wangli
Source
Mathematical Problems in Engineering
Issue
Vol. 2013, Issue 2013 (31 Dec. 2013), pp.1-13, 13 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2013-05-22
Country of Publication
Egypt
No. of Pages
13
Main Subjects
Abstract EN
Assessment of credit risk is of great importance in financial risk management.
In this paper, we propose an improved attribute bagging method, weight-selected attribute bagging (WSAB), to evaluate credit risk.
Weights of attributes are first computed using attribute evaluation method such as linear support vector machine (LSVM) and principal component analysis (PCA).
Subsets of attributes are then constructed according to weights of attributes.
For each of attribute subsets, the larger the weights of the attributes the larger the probabilities by which they are selected into the attribute subset.
Next, training samples and test samples are projected onto each attribute subset, respectively.
A scoring model is then constructed based on each set of newly produced training samples.
Finally, all scoring models are used to vote for test instances.
An individual model that only uses selected attributes will be more accurate because of elimination of some of redundant and uninformative attributes.
Besides, the way of selecting attributes by probability can also guarantee the diversity of scoring models.
Experimental results based on two credit benchmark databases show that the proposed method, WSAB, is outstanding in both prediction accuracy and stability, as compared to analogous methods.
American Psychological Association (APA)
Li, Jianwu& Wei, Haizhou& Hao, Wangli. 2013. Weight-Selected Attribute Bagging for Credit Scoring. Mathematical Problems in Engineering،Vol. 2013, no. 2013, pp.1-13.
https://search.emarefa.net/detail/BIM-1009170
Modern Language Association (MLA)
Li, Jianwu…[et al.]. Weight-Selected Attribute Bagging for Credit Scoring. Mathematical Problems in Engineering No. 2013 (2013), pp.1-13.
https://search.emarefa.net/detail/BIM-1009170
American Medical Association (AMA)
Li, Jianwu& Wei, Haizhou& Hao, Wangli. Weight-Selected Attribute Bagging for Credit Scoring. Mathematical Problems in Engineering. 2013. Vol. 2013, no. 2013, pp.1-13.
https://search.emarefa.net/detail/BIM-1009170
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-1009170