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Monotonic support vector machines for credit risk rating

Zopounidis Konstantinos, Doumpos, Michael

Απλή Εγγραφή


URIhttp://purl.tuc.gr/dl/dias/72421604-8861-427D-8779-67F1F546BA47-
Αναγνωριστικόhttps://doi.org/10.1142/S1793005709001520-
Γλώσσαen-
Μέγεθος14 pagesen
ΤίτλοςMonotonic support vector machines for credit risk ratingen
ΔημιουργόςZopounidis Konstantinosen
ΔημιουργόςΖοπουνιδης Κωνσταντινοςel
ΔημιουργόςDoumpos, Michaelen
ΠερίληψηCredit 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
ΤύποςPeer-Reviewed Journal Publicationen
ΤύποςΔημοσίευση σε Περιοδικό με Κριτέςel
Άδεια Χρήσηςhttp://creativecommons.org/licenses/by/4.0/en
Ημερομηνία2015-10-29-
Ημερομηνία Δημοσίευσης2009-
Θεματική ΚατηγορίαCapability, Financial (Financial literacy)en
Θεματική ΚατηγορίαFinancial capability (Financial literacy)en
Θεματική ΚατηγορίαLiteracy, Financialen
Θεματική Κατηγορίαfinancial literacyen
Θεματική Κατηγορίαcapability financial financial literacyen
Θεματική Κατηγορίαfinancial capability financial literacyen
Θεματική Κατηγορίαliteracy financialen
Βιβλιογραφική Αναφορά 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/S1793005709001520en

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