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Least squares support vector machines ensemble models for credit scoring

文献类型：期刊论文

作者Zhou, Ligang1; Lai, Kin Keung1; Yu, Lean2
刊名EXPERT SYSTEMS WITH APPLICATIONS
出版日期2010
卷号37期号:1页码:127-133
关键词Credit scoring Support vector machines Ensemble model
ISSN号0957-4174
DOI10.1016/j.eswa.2009.05.024
英文摘要Due to recent financial crisis and regulatory concerns of Basel 11, credit risk assessment is becoming one of the most important topics in the field of financial risk management. Quantitative credit scoring models are widely used tools for credit risk assessment in financial institutions. Although single support vector machines (SVM) have been demonstrated with good performance in classification, a single classifier with a fixed group of training samples and parameters setting may have some kind of inductive bias. One effective way to reduce the bias is ensemble model. In this study, several ensemble models based on least squares support vector machines (LSSVM) are brought forward for credit scoring. The models are tested on two real world datasets and the results show that ensemble strategies can help to improve the performance in some degree and are effective for building credit scoring models. (C) 2009 Elsevier Ltd. All rights reserved.
资助项目City University of Hong Kong[7002253]
WOS研究方向Computer Science ; Engineering ; Operations Research & Management Science
语种英语
WOS记录号WOS:000271571000014
出版者PERGAMON-ELSEVIER SCIENCE LTD
源URL[http://ir.amss.ac.cn/handle/2S8OKBNM/9678]  
专题中国科学院数学与系统科学研究院
通讯作者Zhou, Ligang
作者单位1.City Univ Hong Kong, Dept Management Sci, Hong Kong, Hong Kong, Peoples R China
2.Chinese Acad Sci, Inst Syst Sci, Acad Math & Syst Sci, Beijing 100080, Peoples R China
推荐引用方式
GB/T 7714		 Zhou, Ligang,Lai, Kin Keung,Yu, Lean. Least squares support vector machines ensemble models for credit scoring[J]. EXPERT SYSTEMS WITH APPLICATIONS,2010,37(1):127-133.
APA Zhou, Ligang,Lai, Kin Keung,&Yu, Lean.(2010).Least squares support vector machines ensemble models for credit scoring.EXPERT SYSTEMS WITH APPLICATIONS,37(1),127-133.
MLA Zhou, Ligang,et al."Least squares support vector machines ensemble models for credit scoring".EXPERT SYSTEMS WITH APPLICATIONS 37.1(2010):127-133.

入库方式： OAI收割

来源：数学与系统科学研究院

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