The Evaluation on the Credit Risk of Enterprises with the CNN-LSTM-ATT Model

Author:

Zhang Lei12ORCID

Affiliation:

1. School of Mathematics and Statistics, Chongqing Jiaotong University, Chongqing 400074, China

2. School of Economics and Management, Chongqing Jiaotong University, Chongqing 400074, China

Abstract

Credit evaluation is a difficult problem in the process of financing and loan for small and medium-sized enterprises. Due to the high dimension and nonlinearity of enterprise behavior data, traditional logistic regression (LR), random forest (RF), and other methods, when the feature space is very large, it is easy to show low accuracy and lack of robustness. However, recurrent neural network (RNN) will have a serious gradient disappearance problem under long sequence training. This paper proposes a compound neural network model based on the attention mechanism to meet the needs of enterprise credit evaluation. The convolutional neural network (CNN) and the long short-term memory (LSTM) network were used to establish the model, using soft attention, the gradient propagates back to other parts of the model through the attention mechanism module. In the multimodel comparison experiment and three different enterprise data experiments, the CNN-LSTM-ATT model proposed in this paper is superior to the traditional models LR, RF, CNN, LSTM, and CNN-LSTM in most cases. The experimental results under multimodel comparison reflect the higher accuracy of the model, and the group test reflects the higher robustness of the model.

Funder

National Natural Science Foundation of China

Publisher

Hindawi Limited

Subject

General Mathematics,General Medicine,General Neuroscience,General Computer Science

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