A hybrid feature selection method for credit scoring
Journal Title: EAI Endorsed Transactions on Context-aware Systems and Applications - Year 2017, Vol 4, Issue 11
Abstract
Reliable credit scoring models played a very important role of retail banks to evaluate credit applications and it has been widely studied. The main objective of this paper is to build a hybrid credit scoring model using feature selection approach. In this study, we constructed a credit scoring model based on parallel GBM (Gradient Boosted Model), filter and wrapper approaches to evaluate the applicant’s credit score from the input features. Feature scoring expression are combined by feature important (Gini index) and Information Value. Backward sequential scheme is used for selecting optimal subset of relevant features while the subset is evaluated by GBM classifier. To reduce the running time, we applied parallel GBM classifier to evaluate the proposed subset of features. The experimental results showed that the proposed method obtained a higher predictive accuracy than a baseline method for some certain datasets. It also showed faster speed and better generalization than traditional feature selection methods widely used in credit scoring.
Authors and Affiliations
Sang Ha Van, Nam Nguyen Ha, Hien Nguyen Thi Bao
Keywords
Related Articles
- EP ID EP45789
- DOI http://dx.doi.org/10.4108/eai.6-3-2017.152335
- Views 265
- Downloads 0
8th EAI International Conference on Context-Aware Systems and Applications (ICCASA 2019) AND 5th EAI International Conference on Nature of Computation and Communication (ICTCC 2019)
The ICCASA and ICTCC 2019 conferences sponsored by EAI, Tien Giang University (TGU) and Nguyen Tat Thanh University (NTTU) are place for highly original ideas about how context-awareness and nature are going to shape net...
Representing and Reasoning with the Internet of Things: a Modular Rule-Based Model for Ensembles of Context-Aware Smart Things
Context-aware smart things are capable of computational behaviour based on sensing the physical world, inferring context from the sensed data, and acting on the sensed context. A collection of such things can form what w...
Modified Virtual Air Guitar: A Concept Realized using Image Processing Techniques
Even amidst the hustle and bustle of busy lives, numerous people dream of playing a musical instrument. Unfortunately, many may never get a chance to touch one. But this doesn’t stop them from ‘air drumming’ or playing ‘...
Modeling Users’ Behavior from Large Scale Smartphone Data Collection
A large volume of research in ubiquitous systems has been devoted to using data, that has been sensed from users’ smartphones, to infer their current high level context and activities. However, mining users’ diverse long...
Multivariate cube integrated retinal variable to visually represent multivariable data
For visualization of multivariable data, multivariate cube meets with the limitation of screen and human vision. Retinal variables are integrated into multivariate cube to enhance its visual characteristics. The selectiv...