CREDIT SCORING MODELS WITH AUC MAXIMIZATION BASED ON WEIGHTED SVM

DOI10.1142/S0219622009003582zbMath1186.91238OpenAlexW2048905749MaRDI QIDQ5305099

Kin Keung Lai, Jerome Yen, Li-Gang Zhou

Publication date: 19 March 2010

Published in: International Journal of Information Technology & Decision Making (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219622009003582

zbMATH Keywords

AUCcredit scoringSVMfeatures weighting

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Learning and adaptive systems in artificial intelligence (68T05) Credit risk (91G40)

Related Items (4)

Clustering via fuzzy one-class quadratic surface support vector machine ⋮ Corporate and personal credit scoring via fuzzy non-kernel SVM with fuzzy within-class scatter ⋮ A kernel-free double well potential support vector machine with applications ⋮ Unsupervised quadratic surface support vector machine with application to credit risk assessment

Uses Software

• LIBSVM

Cites Work

• Unnamed Item
• Feature extraction. Foundations and applications. Papers from NIPS 2003 workshop on feature extraction, Whistler, BC, Canada, December 11--13, 2003. With CD-ROM.
• Recent developments in consumer credit risk assessment
• FEATURE SELECTION VIA LEAST SQUARES SUPPORT FEATURE MACHINE
• AN EFFICIENT ALGORITHM FOR SOLVING A QUADRATIC PROGRAMMING MODEL WITH APPLICATION IN CREDIT CARD HOLDERS' BEHAVIOR
• Quantitative Methods in Credit Management: A Survey
• Benchmarking state-of-the-art classification algorithms for credit scoring
• Support Vector Machines for Credit Scoring: Extension to Non Standard Cases
• Choosing multiple parameters for support vector machines

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