Multi-view ensemble learning based on distance-to-model and adaptive clustering for imbalanced credit risk assessment in P2P lending

Machine learning-driven credit risk: a systemic review

Credit risk assessment is at the core of modern economies. Traditionally, it is measured by statistical methods and manual auditing. Recent advances in financial artificial intelligence stemmed from a new wave of machine learning (ML)-driven credit risk models that gained tremendous attention from both industry and academia. In this paper, we systematically review a series of major research contributions (76 papers) over the past eight years using statistical, machine learning and deep learning techniques to address the problems of credit risk. Specifically, we propose a novel classification methodology for ML-driven credit risk algorithms and their performance ranking using public datasets. We further discuss the challenges including data imbalance, dataset inconsistency, model transparency, and inadequate utilization of deep learning models. The results of our review show that: 1) most deep learning models outperform classic machine learning and statistical algorithms in credit risk estimation, and 2) ensemble methods provide higher accuracy compared with single models. Finally, we present summary tables in terms of datasets and proposed models.

Commercial Bank Credit Grading Model Using Genetic Optimization Neural Network and Cluster Analysis

Commercial banks are facing unprecedented credit risk challenges as the financial market becomes more volatile. Based on this, this study proposes and builds a credit risk assessment model for commercial banks based on GANN from the standpoint of commercial banks. In order to provide commercial banks with an effective and dependable credit risk assessment method, the indicators in this study are classified using cluster analysis, and then various representative indicators are chosen using a factor model, which takes into account the comprehensiveness of the information and reduces the complexity of the subsequent empirical analysis. On this basis, the network structure, learning parameters, and learning algorithm of commercial banks' credit risk assessment models are determined. Furthermore, advancements in data preprocessing and genetic operation have been made. According to simulation results, the highest accuracy rate of this method is 94.17 percent, which is higher than the BPNN algorithm 89.46 percent and the immune algorithm 90.14 percent. The optimization algorithm presented in this study improves the convergence speed and search efficiency of traditional algorithms, and the final experimental results show that the scheme is feasible and effective and can be used for commercial bank credit risk assessment.

A credit scoring model based on the Myers-Briggs type indicator in online peer-to-peer lending

Although psychometric features have been considered for alternative credit scoring, they have not yet been applied to peer-to-peer (P2P) lending because such information is not available on platforms. This study proposed an alternative credit scoring model for P2P lending by extracting typical personality types inferred from the borrowers' job category. We projected a virtual space of borrowers by using the affinity matrix based on the Myers-Briggs type indicator (MBTI) that fits each job category. Applying the distance in this space to Lending Club data, we used locally weighted logistic regression to vary the coefficients of the variables, which affect loan repayments, with each MBTI type for predicting the default probability. We found that each MBTI type's credit scoring model has different significant variables. This study provides insights into breakthroughs in developing alternative credit scoring for P2P lending.

SUPPLEMENTARY INFORMATION

The online version contains supplementary material available at 10.1186/s40854-022-00347-4.

Multi-view learning based on maximum margin of twin spheres support vector machine

Multi-view learning utilizes information from multiple representations to advance the performance of categorization. Most of the multi-view learning algorithms based on support vector machines seek the separating hyperplanes in different feature spaces, which may be unreasonable in practical application. Besides, most of them are designed to balanced data, which may lead to poor performance. In this work, a novel multi-view learning algorithm based on maximum margin of twin spheres support vector machine (MvMMTSSVM) is introduced. The proposed method follows both maximum margin principle and consensus principle. By following the maximum margin principle, it constructs two homocentric spheres and tries to maximize the margin between the two spheres for each view separately. To realize the consensus principle, the consistency constraints of two views are introduced in the constraint conditions. Therefore, it not only deals with multi-view class-imbalanced data effectively, but also has fast calculation efficiency. To verify the validity and rationlity of our MvMMTSSVM, we do the experiments on 24 binary datasets. Furthermore, we use Friedman test to verify the effectiveness of MvMMTSSVM.

A heterogeneous ensemble learning method for neuroblastoma survival prediction

Neuroblastoma is a pediatric cancer with high morbidity and mortality. Accurate survival prediction of patients with neuroblastoma plays an important role in the formulation of treatment plans. In this study, we proposed a heterogeneous ensemble learning method to predict the survival of neuroblastoma patients and extract decision rules from the proposed method to assist doctors in making decisions. After data preprocessing, five heterogeneous base learners were developed, which consisted of decision tree, random forest, support vector machine based on genetic algorithm, extreme gradient boosting and light gradient boosting machine. Subsequently, a heterogeneous feature selection method was devised to obtain the optimal feature subset of each base learner, and the optimal feature subset of each base learner guided the construction of the base learners as a priori knowledge. Furthermore, an area under curve-based ensemble mechanism was proposed to integrate the five heterogeneous base learners. Finally, the proposed method was compared with mainstream machine learning methods from different indicators, and valuable information was extracted by using the partial dependency plot analysis method and rule-extracted method from the proposed method. Experimental results show that the proposed method achieves an accuracy of 91.64%, recall of 91.14%, and AUC of 91.35% and is significantly better than the mainstream machine learning methods. In addition, interpretable rules with accuracy higher than 0.900 and predicted responses are extracted from the proposed method. Our study can effectively improve the performance of the clinical decision support system to improve the survival of neuroblastoma patients.