Development and application of consumer credit scoring models using profit-based classification measures

DOI10.1016/j.ejor.2014.04.001zbMath1338.91146OpenAlexW1973982793MaRDI QIDQ144224

Bart Baesens, Cristián Bravo, Thomas Verbraken, Richard Weber, Cristián Bravo, Thomas Verbraken, Bart Baesens, Richard R. Weber

Publication date: October 2014

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://eprints.soton.ac.uk/403263/1/EMP_CS_SelfArchive.pdf

zbMATH Keywords

classificationcutoff pointperformance measurementcredit scoringdata analytics

Mathematics Subject Classification ID

Classification and discrimination; cluster analysis (statistical aspects) (62H30) Applications of statistics to actuarial sciences and financial mathematics (62P05) Credit risk (91G40)

Related Items

Benchmarking state-of-the-art classification algorithms for credit scoring: an update of research ⋮ Credit offering strategy and dynamic pricing in the presence of consumer strategic behavior ⋮ Profit driven decision trees for churn prediction ⋮ Credit scoring by incorporating dynamic networked information ⋮ Cost-sensitive thresholding over a two-dimensional decision region for fraud detection ⋮ Deep learning for credit scoring: do or don't? ⋮ How can lenders prosper? Comparing machine learning approaches to identify profitable peer-to-peer loan investments ⋮ Instance-dependent cost-sensitive learning for detecting transfer fraud ⋮ Cost-based feature selection for support vector machines: an application in credit scoring ⋮ Platform competition in peer-to-peer lending considering risk control ability ⋮ Predicting mortgage early delinquency with machine learning methods ⋮ Profit-based churn prediction based on minimax probability machines ⋮ EMP ⋮ Fairness in credit scoring: assessment, implementation and profit implications ⋮ Machine learning for credit scoring: improving logistic regression with non-linear decision-tree effects ⋮ Operational research and artificial intelligence methods in banking

Uses Software

• EMP

Cites Work

• Unnamed Item
• Credit scoring for profitability objectives
• Measuring classifier performance: a coherent alternative to the area under the ROC curve
• Quantile regression for modelling distributions of profit and loss
• Credit Scoring and Its Applications
• Benchmarking state-of-the-art classification algorithms for credit scoring
• Good practice in retail credit scorecard assessment
• Robust classification for imprecise environments