Research output: Contribution to Journal/Magazine › Journal article › peer-review
Research output: Contribution to Journal/Magazine › Journal article › peer-review
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TY - JOUR
T1 - Adaptive consumer credit classification
AU - Pavlidis, N.
AU - Tasoulis, Dimitrios
AU - Adams, N. M.
AU - Hand, D. J.
PY - 2012/12
Y1 - 2012/12
N2 - Credit scoring methods for predicting creditworthiness have proven very effective in consumer finance. In light of the present financial crisis, such methods will become even more important. One of the outstanding issues in credit risk classification is population drift. This term refers to changes occurring in the population due to unexpected changes in economic conditions and other factors. In this paper, we propose a novel methodology for the classification of credit applications that has the potential to adapt to population drift as it occurs. This provides the opportunity to update the credit risk classifier as new labelled data arrives. Assorted experimental results suggest that the proposed method has the potential to yield significant performance improvement over standard approaches, without sacrificing the classifier's descriptive capabilities.
AB - Credit scoring methods for predicting creditworthiness have proven very effective in consumer finance. In light of the present financial crisis, such methods will become even more important. One of the outstanding issues in credit risk classification is population drift. This term refers to changes occurring in the population due to unexpected changes in economic conditions and other factors. In this paper, we propose a novel methodology for the classification of credit applications that has the potential to adapt to population drift as it occurs. This provides the opportunity to update the credit risk classifier as new labelled data arrives. Assorted experimental results suggest that the proposed method has the potential to yield significant performance improvement over standard approaches, without sacrificing the classifier's descriptive capabilities.
KW - credit scoring
KW - logistic regression
KW - population drift
KW - online learning
KW - H-measure
U2 - 10.1057/jors.2012.15
DO - 10.1057/jors.2012.15
M3 - Journal article
VL - 63
SP - 1645
EP - 1654
JO - Journal of the Operational Research Society
JF - Journal of the Operational Research Society
SN - 1476-9360
IS - 12
ER -