DocumentCode
527472
Title
Consumer credit risk evaluation by logistic regression with self-organizing map
Author
Ni, He
Author_Institution
Sch. of Finance, Zhejiang Gongshang Univ., Hangzhou, China
Volume
1
fYear
2010
fDate
10-12 Aug. 2010
Firstpage
205
Lastpage
209
Abstract
The significant growth of financial institutions´ concerns on consumer credit has resulted in a greater demand of classifying applicants into “good” and “bad” risk categories. Logistic regression has widely been employed as a mainstream approach to identify qualified consumers. The performance is, however, inevitably undermined by inappropriate/inconsistent samples. Self-organizing maps, which is known by its powerful unsupervised clustering capability, is investigated in this paper for its potential in credit risk assessment. An integration of self-organizing maps and logistic regression is proposed to firstly group consumers according to their featured attributes and then evaluate credit risk of consumers based on the logistic regressive model built on the group which the consumers most likely belong to. Besides, a confidence level weight is assigned to each model outcome. The performance of the integrated model is benchmarked by results of conventional logistic regressive model and local linear regressive model.
Keywords
finance; logistics; pattern classification; pattern clustering; regression analysis; risk management; self-organising feature maps; consumer credit risk evaluation; credit risk assessment; linear regressive model; logistic regressive model; self-organizing map; unsupervised clustering capability; Artificial neural networks; Data models; Equations; Logistics; Mathematical model; Predictive models; Training;
fLanguage
English
Publisher
ieee
Conference_Titel
Natural Computation (ICNC), 2010 Sixth International Conference on
Conference_Location
Yantai, Shandong
Print_ISBN
978-1-4244-5958-2
Type
conf
DOI
10.1109/ICNC.2010.5582917
Filename
5582917
Link To Document