A new fuzzy support vector machine to evaluate credit risk

doi:10.1109/TFUZZ.2005.859320

	A new fuzzy support vector machine to evaluate credit risk
	Wang, YQ ; Wang, SY ; Lai, KK
刊名	IEEE TRANSACTIONS ON FUZZY SYSTEMS
	2005-12-01
卷号	13 期号:6 页码:820-831
关键词	classification credit scoring fuzzy theory machine learning support vector machine (SVM)
ISSN号	1063-6706
DOI	10.1109/TFUZZ.2005.859320
英文摘要	Due to recent financial crises and regulatory concerns, financial intermediaries' credit risk assessment is an area of renewed interest in both the academic world and the business community. In this paper, we propose a new fuzzy support vector machine to discriminate good creditors from bad ones. Because in credit scoring areas we usually cannot label one customer as absolutely good who is sure to repay in time, or absolutely bad who will default certainly, our new fuzzy support vector machine treats every sample as both positive and negative classes, but with different memberships. By this way we expect the new fuzzy support vector machine to have more generalization ability, while preserving the merit of insensitive to outliers, as the fuzzy support vector machine (SVM) proposed in previous papers. We reformulate this kind of two-group classification problem into a quadratic programming problem. Empirical tests on three public datasets show that it can have better discriminatory power than the standard support vector machine and the fuzzy support vector machine if appropriate kernel and membership generation method are chosen.
WOS研究方向	Computer Science ; Engineering
语种	英语
出版者	IEEE-INST ELECTRICAL ELECTRONICS ENGINEERS INC
WOS记录号	WOS:000233973500008
内容类型	期刊论文
源URL	[http://ir.amss.ac.cn/handle/2S8OKBNM/2207]
专题	中国科学院数学与系统科学研究院
通讯作者	Wang, YQ
作者单位	1.Chinese Acad Sci, Acad Math & Syst Sci, Inst Syst Sci, Beijing 100080, Peoples R China 2.Hong Kong Coll Business, Hunan 410082, Peoples R China 3.City Univ Hong Kong, Dept Management Sci, Hong Kong, Hong Kong, Peoples R China
推荐引用方式 GB/T 7714	Wang, YQ,Wang, SY,Lai, KK. A new fuzzy support vector machine to evaluate credit risk[J]. IEEE TRANSACTIONS ON FUZZY SYSTEMS,2005,13(6):820-831.
APA	Wang, YQ,Wang, SY,&Lai, KK.(2005).A new fuzzy support vector machine to evaluate credit risk.IEEE TRANSACTIONS ON FUZZY SYSTEMS,13(6),820-831.
MLA	Wang, YQ,et al."A new fuzzy support vector machine to evaluate credit risk".IEEE TRANSACTIONS ON FUZZY SYSTEMS 13.6(2005):820-831.