TY - JOUR
T1 - Credit rating with a monotonicity-constrained support vector machine model
AU - Chen, Chih Chuan
AU - Li, Sheng Tun
N1 - Funding Information:
The authors would like to thank the anonymous reviewers for their constructive and helpful comments. This study was supported in part by the National Science Council, Taiwan, under contract NSC99-2410-H-006-054-MY3. The authors also thank Mr. Hung-Hsiang Chang for his help in the experimentation.
PY - 2014/11/15
Y1 - 2014/11/15
N2 - Deciding whether borrowers can fulfill their obligations is a major issue for financial institutions, and while various credit rating models have been developed to help achieve this, they cannot reflect the domain knowledge of human experts. This paper proposes a new rating model based on a support vector machine with monotonicity constraints derived from the prior knowledge of financial experts. Experiments conducted on real-world data sets show that the proposed method, not only data driven but also domain knowledge oriented, can help correct the loss of monotonicity in data occurring during the collecting process, and performs better than the conventional counterpart.
AB - Deciding whether borrowers can fulfill their obligations is a major issue for financial institutions, and while various credit rating models have been developed to help achieve this, they cannot reflect the domain knowledge of human experts. This paper proposes a new rating model based on a support vector machine with monotonicity constraints derived from the prior knowledge of financial experts. Experiments conducted on real-world data sets show that the proposed method, not only data driven but also domain knowledge oriented, can help correct the loss of monotonicity in data occurring during the collecting process, and performs better than the conventional counterpart.
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U2 - 10.1016/j.eswa.2014.05.035
DO - 10.1016/j.eswa.2014.05.035
M3 - Article
AN - SCOPUS:84904336047
SN - 0957-4174
VL - 41
SP - 7235
EP - 7247
JO - Expert Systems With Applications
JF - Expert Systems With Applications
IS - 16
ER -