Balancing accuracy, complexity and interpretability in consumer credit decision making: A C-TOPSIS classification approach

A multi-level classification based ensemble and feature extractor for credit risk assessment

With the growth of people's demand for loans, banks and other financial institutions put forward higher requirements for customer credit risk level classification, the purpose is to make better loan decisions and loan amount allocation and reduce the pre-loan risk. This article proposes a Multi-Level Classification based Ensemble and Feature Extractor (MLCEFE) that incorporates the strengths of sampling, feature extraction, and ensemble classification. MLCEFE uses SMOTE + Tomek links to solve the problem of data imbalance and then uses a deep neural network (DNN), auto-encoder (AE), and principal component analysis (PCA) to transform the original variables into higher-level abstract features for feature extraction. Finally, it combined multiple ensemble learners to improve the effect of personal credit risk multi-classification. During performance evaluation, MLCEFE has shown remarkable results in the multi-classification of personal credit risk compared with other classification methods.

A Hybrid Algorithm-Level Ensemble Model for Imbalanced Credit Default Prediction in the Energy Industry

Credit default prediction for the energy industry is essential to promoting the healthy development of the energy industry in China. While previous studies have constructed various credit default prediction models with brilliant performance, the class-imbalance problem in the credit default dataset cannot be ignored, where the numbers of credit default cases are usually much smaller than the number of non-default ones. To address the class-imbalance problem, we proposed a novel CT-XGBoost model, which adds to XGBoost with two algorithm-level methods for class imbalance, including the cost-sensitive strategy and threshold method. Based on the credit default dataset consisting of energy corporates in western China, which suffers from the class-imbalance problem, the CT-XGBoost model achieves better performance than the conventional models. The results indicate that the proposed model can efficiently alleviate the inherent class-imbalance problem in the credit default dataset. Moreover, we analyze how the prediction performance is influenced by different parameter settings in the cost-sensitive strategy and threshold method. This study can help market investors and regulators precisely assess the credit risk in the energy industry and provides theoretical guidance to solving the class-imbalance problem in credit default prediction.

Accuracy Versus Simplification in an Approximate Logic Neural Model

An approximate logic neural model (ALNM) is a novel single-neuron model with plastic dendritic morphology. During the training process, the model can eliminate unnecessary synapses and useless branches of dendrites. It will produce a specific dendritic structure for a particular task. The simplified structure of ALNM can be substituted by a logic circuit classifier (LCC) without losing any essential information. The LCC merely consists of the comparator and logic NOT, AND, and OR gates. Thus, it can be easily implemented in hardware. However, the architecture of ALNM affects the learning capacity, generalization capability, computing time and approximation of LCC. Thus, a Pareto-based multiobjective differential evolution (MODE) algorithm is proposed to simultaneously optimize ALNM's topology and weights. MODE can generate a concise and accurate LCC for every specific task from ALNM. To verify the effectiveness of MODE, extensive experiments are performed on eight benchmark classification problems. The statistical results demonstrate that MODE is superior to conventional learning methods, such as the backpropagation algorithm and single-objective evolutionary algorithms. In addition, compared against several commonly used classifiers, both ALNM and LCC are capable of obtaining promising and competitive classification performances on the benchmark problems. Besides, the experimental results also verify that the LCC obtains the faster classification speed than the other classifiers.

A Pruning Neural Network Model in Credit Classification Analysis

Nowadays, credit classification models are widely applied because they can help financial decision-makers to handle credit classification issues. Among them, artificial neural networks (ANNs) have been widely accepted as the convincing methods in the credit industry. In this paper, we propose a pruning neural network (PNN) and apply it to solve credit classification problem by adopting the well-known Australian and Japanese credit datasets. The model is inspired by synaptic nonlinearity of a dendritic tree in a biological neural model. And it is trained by an error back-propagation algorithm. The model is capable of realizing a neuronal pruning function by removing the superfluous synapses and useless dendrites and forms a tidy dendritic morphology at the end of learning. Furthermore, we utilize logic circuits (LCs) to simulate the dendritic structures successfully which makes PNN be implemented on the hardware effectively. The statistical results of our experiments have verified that PNN obtains superior performance in comparison with other classical algorithms in terms of accuracy and computational efficiency.