Credit risk evaluation with extreme learning machine

Credit risk evaluation has become an increasingly important field in financial risk management for financial institutions, especially for banks and credit card companies. Many data mining and statistical methods have been applied to this field. Extreme learning machine (ELM) classifier as a type of generalized single hidden layer feed-forward networks has been used in many applications and achieve good classification accuracy. Thus, we use ELM (kernel based) as a classification tool to perform the credit risk evaluation in this paper. The simulations are done on two credit risk evaluation datasets with three different kernel functions. Simulation results show that the kernel based ELM is more suitable for credit risk evaluation than the popular used Support Vector Machines (SVMs) with consideration of overall, good and bad accuracies.