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Credit risk assessment with a multistage neural network ensemble learning approach

文献类型：期刊论文

作者Yu, Lean1; Wang, Shouyang1; Lai, Kin Keung2
刊名EXPERT SYSTEMS WITH APPLICATIONS
出版日期2008-02-01
卷号34期号:2页码:1434-1444
关键词credit risk assessment neural network ensemble learning bagging reliability
ISSN号0957-4174
DOI10.1016/j.eswa.2007.01.009
英文摘要In this study, a multistage neural network ensemble learning model is proposed to evaluate credit risk at the measurement level. The proposed model consists of six stages. In the first stage, a bagging sampling approach is used to generate different training data subsets especially for data shortage. In the second stage, the different neural network models are created with different training subsets obtained from the previous stage. In the third stage, the generated neural network models are trained with different training datasets and accordingly the classification score and reliability value of neural classifier can be obtained. In the fourth stage, a decorrelation maximization algorithm is used to select the appropriate ensemble members. In the fifth stage, the reliability values of the selected neural network models (i.e., ensemble members) are scaled into a unit interval by logistic transformation. In the final stage, the selected neural network ensemble members are fused to obtain final classification result by means of reliability measurement. For illustration, two publicly available credit datasets are used to verify the effectiveness of the proposed multistage neural network ensemble model. (C) 2007 Elsevier Ltd. All rights reserved.
WOS研究方向Computer Science ; Engineering ; Operations Research & Management Science
语种英语
WOS记录号WOS:000253238900064
出版者PERGAMON-ELSEVIER SCIENCE LTD
源URL[http://ir.amss.ac.cn/handle/2S8OKBNM/6644]  
专题中国科学院数学与系统科学研究院
通讯作者Yu, Lean
作者单位1.Chinese Acad Sci, Inst Syst Sci, Acad Math & Syst Sci, Beijing, Peoples R China
2.City Univ Hong Kong, Dept Management Sci, Kowloon, Hong Kong, Peoples R China
推荐引用方式
GB/T 7714		 Yu, Lean,Wang, Shouyang,Lai, Kin Keung. Credit risk assessment with a multistage neural network ensemble learning approach[J]. EXPERT SYSTEMS WITH APPLICATIONS,2008,34(2):1434-1444.
APA Yu, Lean,Wang, Shouyang,&Lai, Kin Keung.(2008).Credit risk assessment with a multistage neural network ensemble learning approach.EXPERT SYSTEMS WITH APPLICATIONS,34(2),1434-1444.
MLA Yu, Lean,et al."Credit risk assessment with a multistage neural network ensemble learning approach".EXPERT SYSTEMS WITH APPLICATIONS 34.2(2008):1434-1444.

入库方式： OAI收割

来源：数学与系统科学研究院

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