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Institutional Repository [SANDBOX]
Technical University of Crete
Technical University of Crete
EN
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EL
| URI | http://purl.tuc.gr/dl/dias/72421604-8861-427D-8779-67F1F546BA47 | - |
| Identifier | https://doi.org/10.1142/S1793005709001520 | - |
| Language | en | - |
| Extent | 14 pages | en |
| Title | Monotonic support vector machines for credit risk rating | en |
| Creator | Zopounidis Konstantinos | en |
| Creator | Ζοπουνιδης Κωνσταντινος | el |
| Creator | Doumpos, Michael | en |
| Content Summary | Credit rating models are widely used by banking institutions to assess the creditworthiness of credit applicants and to estimate the probability of default. Several pattern classification algorithms are used for the development of such models. In contrast to other pattern classification tasks, however, credit rating models are not only expected to provide accurate predictions, but also to make clear economic sense. Within this context, the estimated probability of default is often required to be a monotone function of the independent variables. Most machine learning techniques do not take this requirement into account. In this paper, monotonicity hints are used to address this issue within the modeling framework of support vector machines (SVM), which have become increasingly popular in this field. Non-linear SVM credit rating models are developed with linear programming, taking into account the monotonicity requirement. The obtained results indicate that the introduction of monotonicity hints improves the predictive ability of the models. | en |
| Type of Item | Peer-Reviewed Journal Publication | en |
| Type of Item | Δημοσίευση σε Περιοδικό με Κριτές | el |
| License | http://creativecommons.org/licenses/by/4.0/ | en |
| Date of Item | 2015-10-29 | - |
| Date of Publication | 2009 | - |
| Subject | Capability, Financial (Financial literacy) | en |
| Subject | Financial capability (Financial literacy) | en |
| Subject | Literacy, Financial | en |
| Subject | financial literacy | en |
| Subject | capability financial financial literacy | en |
| Subject | financial capability financial literacy | en |
| Subject | literacy financial | en |
| Bibliographic Citation | M. Doumpos, C. Zopounidis ," Monotonic support vector machines for credit risk rating," New Math. and Natural Comp., vol. 5, no 3, pp. 557 - 570,Nov. 2009.doi:10.1142/S1793005709001520 | en |
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