A non-parametric-based computationally efficient approach for credit scoring

Research output: Chapter in Book/Report/Conference proceedingConference contribution

1 Citation (Scopus)

Abstract

This research aimed at the case of credit scoring in risk management and presented the novel method for credit scoring to be used for default prediction. This study uses Kruskal-Wallis non-parametric statistic to form a computationally efficient credit-scoring model based on artificial neural network to study the impact on modelling performance. The findings show that new credit scoring methodology represents reasonable coefficient of determination and low false negative rate. It is computationally less expensive with high accuracy (AUC=0.99). Because of the recent respective of continued credit/behavior scoring, our study suggests to use this credit score for non-traditional data sources such as mobile phone data to study and reveal changes of client’s behavior during the time. This is the first study that develops a non-parametric credit scoring, which is able to reselect effective features for continued credit evaluation and weighted out by their level of contribution with a good diagnostic ability.

Original languageEnglish
Title of host publicationAtas da Conferencia da Associacao Portuguesa de Sistemas de Informacao 2019
Subtitle of host publication19ª Conferencia da Associacao Portuguesa de Sistemas de Informacao, CAPSI 2019 - 19th Conference of the Portuguese Association for Information Systems, CAPSI 2019; Lisboa; Portugal; 11 October 2019 through 12 October 2019
Pages19
Publication statusPublished - 1 Oct 2019
Event19.a Conferencia da Associacao Portuguesa de Sistemas de Informacao, CAPSI 2019 - 19th Conference of the Portuguese Association for Information Systems, CAPSI 2019 - Lisboa, Portugal
Duration: 11 Oct 201912 Oct 2019

Publication series

NameAtas da Conferencia da Associacao Portuguesa de Sistemas de Informacao

Conference

Conference19.a Conferencia da Associacao Portuguesa de Sistemas de Informacao, CAPSI 2019 - 19th Conference of the Portuguese Association for Information Systems, CAPSI 2019
CountryPortugal
CityLisboa
Period11/10/1912/10/19

Keywords

  • Credit scoring
  • Kruskal_Wallis statistic
  • Loan default
  • Neural network

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