Deep Generative Models for Reject Inference in Credit Scoring

Credit scoring models based on accepted applications may be biased and their consequences can have a statistical and economic impact. Reject inference is the process of attempting to infer the creditworthiness status of the rejected applications. In this research, we use deep generative models to develop two new semi-supervised Bayesian models for reject inference in credit scoring, in which we model the data generating process to be dependent on a Gaussian mixture. The goal is to improve the classification accuracy in credit scoring models by adding reject applications. Our proposed models infer the unknown creditworthiness of the rejected applications by exact enumeration of the two possible outcomes of the loan (default or non-default). The efficient stochastic gradient optimization technique used in deep generative models makes our models suitable for large data sets. Finally, the experiments in this research show that our proposed models perform better than classical and alternative machine learning models for reject inference in credit scoring

Corporate Credit Rating: A Survey

Corporate credit rating (CCR) plays a very important role in the process of contemporary economic and social development. How to use credit rating methods for enterprises has always been a problem worthy of discussion. Through reading and studying the relevant literature at home and abroad, this paper makes a systematic survey of CCR. This paper combs the context of the development of CCR methods from the three levels: statistical models, machine learning models and neural network models, summarizes the common databases of CCR, and deeply compares the advantages and disadvantages of the models. Finally, this paper summarizes the problems existing in the current research and prospects the future of CCR. Compared with the existing review of CCR, this paper expounds and analyzes the progress of neural network model in this field in recent years.Comment: 11 page

A Review of Algorithms for Credit Risk Analysis

The interest collected by the main borrowers is collected to pay back the principal borrowed from the depositary bank. In financial risk management, credit risk assessment is becoming a significant sector. For the credit risk assessment of client data sets, many credit risk analysis methods are used. The assessment of the credit risk datasets leads to the choice to cancel the customer\u27s loan or to dismiss the customer\u27s request is a challenging task involving a profound assessment of the information set or client information. In this paper, we survey diverse automatic credit risk analysis methods used for credit risk assessment. Data mining approach, as the most often used approach for credit risk analysis was described with the focus to various algorithms, such as neural networks. This work is licensed under a Creative Commons Attribution-NonCommercial 4.0 International License.</p

Fault Diagnosis of HVDC Systems Using Machine Learning Based Methods

With the development of high-power electronic technology, HVDC system is applied in the power system because of advantages in large-capacity and long-distance transmission, stability, and flexibility. Therefore, as the guarantee of reliable operating of HVDC system, fault diagnosis of the HVDC system is of great significance. In the current variety methods used in fault diagnosis, Machine Learning based methods have become a hotspot. To this end, the performance of several commonly used machine learning classifiers is compared in HVDC system. First of all, nine faults both in AC systems and DC systems of the HVDC system are set in the HVDC model in Simulink. Therefore, 10 operating states corresponding to the faults and normal operating are considered as the output classes of classifier. Seven parameters, such as DC voltage and DC current, are selected as fault feature parameters of each sample. By simulating the HVDC system in 10 operating states (including normal operating state) correspondingly, 20000 samples, each containing seven parameters, be obtained during the fault period. Then, the training sample set and the test sample set are established by 80% and 20% of the whole sample set. Subsequently, Decision Trees, the Support Vector Machine (SVM), K-Nearest Neighborhood Classifier (KNN), Ensemble classifiers, Discriminant Analysis, Backward Propagation Neural Network (BP-NN), long Short-Term Memory Neural Network (LSTM-NN), Extreme Learning Machine (ELM) was trained and tested. The accuracy of testing is used as the performance index of the model. In particular, for BP-NN, the impact of different transfer functions and learning rules combinations on the accuracy of the model was tested. For ELM, the impact of different activation functions on accuracy is tested. The results have shown that ELM and Bagged Trees have the best performance in HVDC fault diagnosis. The accuracy of these two methods are 92.23% and 96.5% respectively. However, in order to achieve better accuracy in ELM model, a large number of hidden layer nodes are set so that training time increases sharply

Credit Scoring with AHP and Fuzzy Comprehensive Evaluation Based on Behavioural Data from Weibo Platform

It is increasingly necessary to evaluate the customers\u27 credit. In the era of big data, Information on the Internet is commonly used to judge the credit worthiness of customers. Some users\u27 credit information is incomplete or unavailable, so credit managers cannot judge the true credit situation of these users. However, with the support of social data especially behavioural data and credit evaluation system, this problem can be effectively solved. This study used Weibo to obtain the behavioural data of Chinese users for credit evaluation. Two methods are used to calculate the credit scores of Weibo users, which are the analytic hierarchy process (AHP) and fuzzy comprehensive evaluation methods. By analysing social processes and inviting experts to make decisions, we constructed a credit evaluation system to expose users\u27 behavioural characteristics. We found that the three key indexes determining the user’s social credit are personal identification, behavioural characteristics and interaction among friends. Then, AHP was used to determine the weight of each index. Finally, a static algorithm was proposed to compute the credit evaluation system of Weibo users using fuzzy comprehensive evaluation methods

Fault Diagnosis of HVDC Systems Using Machine Learning Based Methods

With the development of high-power electronic technology, HVDC system is applied in the power system because of advantages in large-capacity and long-distance transmission, stability, and flexibility. Therefore, as the guarantee of reliable operating of HVDC system, fault diagnosis of the HVDC system is of great significance. In the current variety methods used in fault diagnosis, Machine Learning based methods have become a hotspot. To this end, the performance of several commonly used machine learning classifiers is compared in HVDC system. First of all, nine faults both in AC systems and DC systems of the HVDC system are set in the HVDC model in Simulink. Therefore, 10 operating states corresponding to the faults and normal operating are considered as the output classes of classifier. Seven parameters, such as DC voltage and DC current, are selected as fault feature parameters of each sample. By simulating the HVDC system in 10 operating states (including normal operating state) correspondingly, 20000 samples, each containing seven parameters, be obtained during the fault period. Then, the training sample set and the test sample set are established by 80% and 20% of the whole sample set. Subsequently, Decision Trees, the Support Vector Machine (SVM), K-Nearest Neighborhood Classifier (KNN), Ensemble classifiers, Discriminant Analysis, Backward Propagation Neural Network (BP-NN), long Short-Term Memory Neural Network (LSTM-NN), Extreme Learning Machine (ELM) was trained and tested. The accuracy of testing is used as the performance index of the model. In particular, for BP-NN, the impact of different transfer functions and learning rules combinations on the accuracy of the model was tested. For ELM, the impact of different activation functions on accuracy is tested. The results have shown that ELM and Bagged Trees have the best performance in HVDC fault diagnosis. The accuracy of these two methods are 92.23% and 96.5% respectively. However, in order to achieve better accuracy in ELM model, a large number of hidden layer nodes are set so that training time increases sharply