• 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