An Ensemble Learning-Enhanced Smart Prediction Model for Financial Credit Risks

Abstract

The credit risk assessment acts as an important part in daily affairs for financial institutions. But in the era of big data, the growing business volume makes it an urgent demand to develop digital ways of credit risk assessment. Currently, the machine learning is universally employed to establish various data-driven models for this purpose. However, machine learning models generally suffer from limited ability of feature representation and robustness, and cannot deal with more complex financial security scenarios. To deal with this issue, this work introduces ensemble learning to construct a stronger credit risk prediction model via integration of several basic machine learning models. Thus, an ensemble learning-enhanced smart prediction model for financial credit risk is proposed in this paper. Three classification-based machine learning models (support vector machine, artificial neural network and radial basis function) are selected as the basic classifiers, and “voting” strategy is utilized to integrate them into a novel strong classifier. A real-world financial credit dataset released by a Chinese commercial bank was selected as the experimental scenario. The obtained results show that the proposal has better prediction accuracy compared with basic machine learning models without ensemble learning.