Classifiers consensus system approach for credit scoring

Banks take great care when dealing with customer loans to avoid any improper decisions that can lead to loss of opportunity or financial losses. Regarding this, researchers have developed complex credit scoring models using statistical and artificial intelligence (AI) techniques to help banks and financial institutions to support their financial decisions. Various models, from easy to advanced approaches, have been developed in this domain. However, during the last few years there has been marked attention towards development of ensemble or multiple classifier systems, which have proved their ability to be more accurate than single classifier models. However, among the multiple classifier systems models developed in the literature, there has been little consideration given to: 1) combining classifiers of different algorithms (as most have focused on building classifiers of the same algorithm); or 2) exploring different classifier output combination techniques other than the traditional ones, such as majority voting and weighted average. In this paper, the aim is to present a new combination approach based on classifier consensus to combine multiple classifier systems (MCS) of different classification algorithms. Specifically, six of the main well-known base classifiers in this domain are used, namely, logistic regression (LR), neural networks (NN), support vector machines (SVM), random forests (RF), decision trees (DT) and naïve Bayes (NB). Two benchmark classifiers are considered as a reference point for comparison with the proposed method and the other classifiers. These are used in combination with LR, which is still considered the industry-standard model for credit scoring models, and multivariate adaptive regression splines (MARS), a widely adopted technique in credit scoring studies. The experimental results, analysis and statistical tests demonstrate the ability of the proposed combination method to improve prediction performance against all base classifiers, namely, LR, MARS and seven traditional combination methods, in terms of average accuracy, area under the curve (AUC), the H-measure and Brier score (BS). The model was validated over five real-world credit scoring datasets

A systematic credit scoring model based on heterogeneous classifier ensembles

Lending loans to borrowers is considered one of the main profit sources for banks and financial institutions. Thus, careful assessment and evaluation should be taken when deciding to grant credit to potential borrowers. With the rapid growth of credit industry and the massive volume of financial data, developing effective credit scoring models is very crucial. The literature in this area is very dense with models that aim to get the best predictive performance. Recent studies stressed on using ensemble models or multiple classifiers over single ones to solve credit scoring problems. Therefore, this study propose to develop and introduce a systematic credit scoring model based on homogenous and heterogeneous classifier ensembles based on three state-of-the art classifiers: logistic regression (LR), artificial neural network (ANN) and support vector machines (SVM). Results revealed that heterogeneous classifier ensembles gives better predictive performance than homogenous and single classifiers in terms of average accuracy