A New Hybrid Support Vector Machine Ensemble Classification Model for Credit Scoring

Abstract

Credit scoring plays important role in the financial industry. There are different ways employed in the field of credit scoring, such as the traditional logistic regression, discriminant analysis, and linear regression; methods used in the field of machine learning include neural network, k-nearest neighbors, genetic algorithm, support vector machines (SVM), decision tree, and so on. SVM has been demonstrated with good performance in classification. This paper proposes a new hybrid RF-SVM ensemble model, which uses random forest to select important variables, and employs ensemble methods (bagging and boosting) to aggregate single base models (SVM) as a robust classifier. The experimental results suggest that this new model could achieve effective improvement, and has promising potential in the field of credit scoring.