DocumentCode
2306091
Title
Genetic algorithm-based feature selection method for credit risk analysis
Author
Xiaoyun Liu ; Huang, Jie
Author_Institution
Sch. of Bus., Fudan Univ., Shanghai, China
fYear
2012
fDate
29-31 Dec. 2012
Firstpage
2233
Lastpage
2236
Abstract
Credit risk assessment of financial intermediaries is an important problem in finance. The key is to find accurate predictors of individual risk in the credit portfolios of institutions. However, accessing credit risk is very challenging as many factors may contribute to the risk and their relationship is complicated to capture. Recentyears have witnessed a growing trend in applying statistical and machinelearning modeling methods such as SVMclassifier, for credit risk analysis, which is effective in capturing nonlinear relationshipin the data. However, high dimensional training data not only results in time-consuming computation but also affects the performance of the classifier. In this paper, wepropose a wrapper feature selection method based on genetic algorithm to select a subset of essential featuresthat will contribute to good performance in the credit risk classification. We test ourmethod in a real-world credit risk predictiontask, and our empirical results demonstrate the advantage ofour method over other competing ones.
Keywords
credit transactions; financial management; genetic algorithms; credit risk analysis; credit risk assessment; credit risk classification; credit risk prediction task; genetic algorithm; wrapper feature selection method; credit risk analysis; feature selection; genetic algorithm; machine learning;
fLanguage
English
Publisher
ieee
Conference_Titel
Computer Science and Network Technology (ICCSNT), 2012 2nd International Conference on
Conference_Location
Changchun
Print_ISBN
978-1-4673-2963-7
Type
conf
DOI
10.1109/ICCSNT.2012.6526362
Filename
6526362
Link To Document