Personal Credit Default Prediction Model Based on Convolution Neural Network

Abstract EN

It has great significance for the healthy development of credit industry to control the credit default risk by using the information technology.

For some traditional research about the credit default prediction model, more attention is paid to the model accuracy, while the business characteristics of the credit risk prevention are easy to be ignored.

Meanwhile, to reduce the complicity of the model, the data features need be extracted manually, which will decrease the high-dimensional correlation among the analyzing data and then result in the low prediction performance of the model.

So, in the paper, the CNN (convolutional neural network) is used to establish a personal credit default prediction model, and both ACC (accuracy) and AUC (the area under the ROC curve) are taken as the performance evaluation index of the model.

Experimental results show the model ACC (accuracy) is above 95% and AUC (the area under the ROC curve) is above 99%, and the model performance is much better than the classical algorithm including the SVM (support vector machine), Bayes, and RF (random forest).