Deep learning for credit scoring: do or don't?

DOI10.1016/j.ejor.2021.03.006zbMath1487.91147OpenAlexW3135286407MaRDI QIDQ2239871

Wilfried Lemahieu, Seppe vanden Broucke, Björn Rafn Gunnarsson, María Óskarsdóttir, Bart Baesens

Publication date: 5 November 2021

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2021.03.006

zbMATH Keywords

decision support systemsrisk analysiscredit scoringdeep learningBayesian statistical testing

Mathematics Subject Classification ID

Classification and discrimination; cluster analysis (statistical aspects) (62H30) Applications of statistics to actuarial sciences and financial mathematics (62P05) Artificial neural networks and deep learning (68T07) Credit risk (91G40)

Related Items (8)

Credit default prediction from user-generated text in peer-to-peer lending using deep learning ⋮ Credit scoring with drift adaptation using local regions of competence ⋮ Interpretable machine learning for imbalanced credit scoring datasets ⋮ Analytics-driven complaint prioritisation via deep learning and multicriteria decision-making ⋮ Joint models of multivariate longitudinal outcomes and discrete survival data with INLA: an application to credit repayment behaviour ⋮ Fairness in credit scoring: assessment, implementation and profit implications ⋮ Machine learning for corporate default risk: multi-period prediction, frailty correlation, loan portfolios, and tail probabilities ⋮ Operational research and artificial intelligence methods in banking

Uses Software

• UCI-ml
• BUGS
• aplore3
• darch
• XGBoost
• RMSprop
• shap

Cites Work

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• Statistical comparison of classifiers through Bayesian hierarchical modelling
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• Credit risk evaluation using multi-criteria optimization classifier with kernel, fuzzification and penalty factors
• Reducing the Dimensionality of Data with Neural Networks
• Credit Scoring and Its Applications
• Benchmarking state-of-the-art classification algorithms for credit scoring
• Applied Logistic Regression
• Bayesian Biostatistics
• A logical calculus of the ideas immanent in nervous activity
• The ASA Statement on p-Values: Context, Process, and Purpose
• Random forests

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