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Application of a genetic algorithm for the credit risk assessment problem

Marinakis Ioannis, Marinaki Magdalini, Zopounidis Konstantinos

Απλή Εγγραφή


URIhttp://purl.tuc.gr/dl/dias/1B03D059-B99B-475B-93E1-D6386672833E-
Αναγνωριστικόhttp://fcds.cs.put.poznan.pl/FCDS2/ArticleDetails.aspx?articleId=110-
Γλώσσαen-
ΤίτλοςApplication of a genetic algorithm for the credit risk assessment problemen
ΔημιουργόςMarinakis Ioannisen
ΔημιουργόςΜαρινακης Ιωαννηςel
ΔημιουργόςMarinaki Magdalinien
ΔημιουργόςΜαρινακη Μαγδαληνηel
ΔημιουργόςZopounidis Konstantinosen
ΔημιουργόςΖοπουνιδης Κωνσταντινοςel
ΕκδότηςPolitechnika Pozanskaen
ΠερίληψηIn this paper, a new procedure that utilizes a Genetic algorithm in order to solve the Feature Subset Selection problem is presented. The proposed algorithm is combined with a number of nearest neighbor based classifiers. The proposed Genetic based classification algorithm is applied for the solution of the Credit Risk Assessment Classification problem. The performance of the algorithm is tested using data from 1411 firms derived from the loan portfolio of a leading Greek Commercial Bank in order to classify the firms in different groups representing different levels of credit risk. A comparison of the algorithm with other classification methods, such as SVM, CART is performed using these data. The algorithm is, also, compared with another metaheuristic algorithm. In this algorithm, the feature subset selection problem is solved using Tabu Search and in the classification phase the Nearest Neighbor Classifier is used. The results obtained using the genetic algorithm for the credit risk assessment classification problem are better than the results of all other classification methods and the metaheuristic algorithm used for the comparisons in this paper.en
ΤύποςPeer-Reviewed Journal Publicationen
ΤύποςΔημοσίευση σε Περιοδικό με Κριτέςel
Άδεια Χρήσηςhttp://creativecommons.org/licenses/by/4.0/en
Ημερομηνία2015-10-01-
Ημερομηνία Δημοσίευσης2007-
Βιβλιογραφική ΑναφοράM. Marinaki, Y. Marinakis and C. Zopounidis, (2007), “Application of a Genetic Algorithm for the Credit Risk Assessment Problem”, Foundations of Computing and Decisions Sciences, Vol.32, Issue 2, pp. 139-152. URL:http://fcds.cs.put.poznan.pl/FCDS2/ArticleDetails.aspx?articleId=110 en

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