• DocumentCode
    2780324
  • Title

    An experimental investigation of artificial immune system algorithms for credit risk assessment applications

  • Author

    Nascimento, Antonio I S ; Vasconcelos, Germano C.

  • Author_Institution
    Center for Inf., Fed. Univ. of Pernambuco, Recife, Brazil
  • fYear
    2012
  • fDate
    10-15 June 2012
  • Firstpage
    1
  • Lastpage
    8
  • Abstract
    In the past few years, artificial immune systems (AIS) have been proposed as an alternative approach to solve computational intelligence problems. Despite their interesting properties and theoretical appeal, the AIS algorithms still require a broader experimentation in real and large scale problems to ensure that they can approximate or outperform the more traditional techniques. In this work, the two known AIS models SAIS and CLONALG are studied in the problem of credit risk analysis making use of three benchmarking databases for comparative analysis. Further variations of the initially proposed algorithms are experimented and their performance are compared to classic logistic regression with respect to the KS (kolmogorov-Smirnov) test and ROC curves. Also, a method for score computation is introduced for allowing a more robust analysis through the ROC and KS metrics. The results can shed some light into the potential of using AIS models in daily real-world credit risk assessment operations.
  • Keywords
    artificial immune systems; artificial intelligence; financial data processing; regression analysis; risk analysis; AIS models; CLONALG; KS metrics; KS test; ROC curves; SAIS; artificial immune system algorithms; computational intelligence problems; credit risk analysis; credit risk assessment applications; kolmogorov-Smirnov; logistic regression; Algorithm design and analysis; Biological system modeling; Cloning; Computational modeling; Immune system; Logistics; Measurement;
  • fLanguage
    English
  • Publisher
    ieee
  • Conference_Titel
    Evolutionary Computation (CEC), 2012 IEEE Congress on
  • Conference_Location
    Brisbane, QLD
  • Print_ISBN
    978-1-4673-1510-4
  • Electronic_ISBN
    978-1-4673-1508-1
  • Type

    conf

  • DOI
    10.1109/CEC.2012.6252947
  • Filename
    6252947