UMA PROPOSIÇÃO DE MODELOS DE PREVISÃO DE RISCO DE CRÉDITO PARA PEQUENAS E MÉDIAS EMPRESAS POR MEIO DA REGRESSÃO LOGÍSTICA

RESUMO A busca por padrões que contribuam na predição de risco, é crescente nas organizações. A utilização de modelos de credit scoring busca auxiliar o analista de crédito na tomada de decisão. Este trabalho objetiva elaborar procedimentos metodológicos, para estruturar e melhorar os modelos de credit scoring direcionados a análise de pequenas e médias empresas. Com a utilização da técnica estatística da regressão logística, por meio das melhorias elaboradas nos procedimentos metodológicos, como exemplo: divisão da base de dados em classes conforme enquadramento das empresas, foi possível o desenvolvimento de 5 modelos de credit scoring, sendo um modelo para cada classe de empresas e outro para a base geral de dados. Os modelos foram direcionados às entidades de fomento e concessão de crédito para pequenas e médias empresas. As acurácias dos modelos apresentaram percentuais expressivos para base de dados com variáveis não contábeis e não auditáveis, atingindo percentuais satisfatórios.

Boosted Decision Trees for Credit Scoring

The chapter developed a tree-based method for credit scoring. It is useful because it helps lenders decide whether to grant or reject credit to their applicants. In particular, it proposes a credit scoring model based on boosted decision trees which is a technique consisting of an ensemble of several decision trees to form a single classifier. The analysis used three different publicly available datasets, and then the prediction accuracy of boosted decision trees is compared with the one of support vector machines method.

Exploration of Financial Market Credit Scoring and Risk Management and Prediction Using Deep Learning and Bionic Algorithm

The purpose is to effectively manage the financial market, comprehensive assess personal credit, reduce the risk of financial enterprises. Given the systemic risk problem caused by the lack of credit scoring in the existing financial market, a credit scoring model is put forward based on the deep learning network. The proposed model uses RNN (Recurrent Neural Network) and BRNN (Bidirectional Recurrent Neural Network) to avoid the limitations of shallow models. Afterward, to optimize path analysis, bionic optimization algorithms are introduced, and an integrated deep learning model is proposed. Finally, a financial credit risk management system using the integrated deep learning model is proposed. The probability of default or overdue customers is predicted through verification on three real credit data sets, thus realizing the credit risk management for credit customers.

Evaluating borrowers’ default risk with a spatial probit model reflecting the distance in their relational network

Potential relationship among loan applicants can provide valuable information for evaluating default risk. However, most of the existing credit scoring models either ignore this relationship or consider a simple connection information. This study assesses the applicants’ relation in terms of their distance estimated based on their characteristics. This information is then utilized in a proposed spatial probit model to reflect the different degree of borrowers’ relation on the default prediction of loan applicant. We apply this method to peer-to-peer Lending Club Loan data. Empirical results show that the consideration of information on the spatial autocorrelation among loan applicants can provide high predictive power for defaults.

Can System Log Data Enhance the Performance of Credit Scoring?—Evidence from an Internet Bank in Korea

The credit scoring model is one of the most important decision-making tools for the sustainability of banking systems. This study is the first to examine whether it can be improved by using system log data that are stoed extensively for system operation. We used the log data recorded by the mobile application system of KakaoBank, a leading internet bank used by more than 14 million people in Korea. After generating candidate variables from KakaoBank’s log data, we created a credit scoring model by utilizing variables with high information values and logistic regression, the most common method for developing credit scoring models in financial institutions. To prove our hypothesis on the improvement of credit scoring model performance, we performed an independent sample t-test using the simulation results of repeated model development and performance measurement based on randomly sampled data. Consequently, the discrimination power of the proposed model using logistic regression (neural network) compared to the credit bureau-based model significantly improved by 1.84 (2.22) percentage points based on the Kolmogorov–Smirnov statistics. The results of this study suggest that a bank can utilize the accumulated log data inside the bank to improve decision-making systems, including credit scoring, at a low cost.

Significant Role of Trust and Distrust in Social Simulation

This paper introduces the Trust-Distrust Model and its applications, extending the Bounded Confidence Model, a theory of opinion dynamics, to include the relationship between trust and mistrust. In recent years, there has been an increase in the number of cases in which the prerequisites for conventional communication (e.g., the other person’s gender, appearance, tone of voice, etc.) cannot be established without the exchange of personal information. However, in recent years, there has been an increase in the use of personal information, such as letters and pictograms “as cryptographic asset data” for two-way communication. However, there are advantages and disadvantages to using information assets in the form of personalized data, which are excerpts of personal information as described above. In the future, the discussion of trust value in the above data will accelerate in indicators such as personal credit scoring. In this paper, the Trust-Distrust Model will be discussed with respect to theories that also address charismatic people, the effects of advertising, and social divisions. Furthermore, simulations of the Trust-Distrust Model show that 55% agreement is sufficient to build social consensus. By addressing this theory, we hope to use it to discuss and predict social risk in future credit scoring discussions.

Creditor Classification Logistic Regression Ensemble Boosting And Logistic Regression In Creditor Classification With Binary Response

Credit risk is the risk that has the greatest opportunity to occur in banking. The number of bad loans will also affect bank performance. The banking sector needs to know whether a prospective creditor is classified as a risky person or not. The purpose of this study is to classify creditors and compare the classification results through logistic regression with the maximum likelihood model and the Boosting algorithm, especially the AdaBoost algorithm, and to select a model with the Boosting algorithm Credit Scoring aims to classify prospective creditor into two classes, namely good prospective creditor (Performing Loan) and bad prospective creditor (Non Performing Loan) based on certain characteristics. The method often used for classifying creditor is logistic regression, but this method is less robust and less accurate than data mining. Thus, there is a need for methods that provide greater accuracy. Among the methods that have been proposed is a method called Boosting, which operates sequentially by applying a classification algorithm to the reweighted version of the training data set. This study uses 5 datasets. The first dataset is secondary data originating from data on non-subsidized homeownership creditors of Bank X Malang City. While the other datasets are simulation data with many samples of 10, 500, and 1000. The results of this study indicate that ensemble boosting logistic regression is more suitable for describing binary response problems, especially creditor classification because it provides more accurate information. For high-dimensional data, which is represented by a sample size of 10, ensemble logistic regression is proven to be able to produce fairly accurate predictions with an accuracy rate of up to 80%, whereas in the logistic regression analysis the model raises N.A because many samples < many independent variables. The use of boosting is preferred because it focuses on problems that are misclassified and have a tendency to increase to higher accuracy.