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Building a Credit Scoring Model Based on Data Mining Approaches (CROSBI ID 267493)

Prilog u časopisu | izvorni znanstveni rad | međunarodna recenzija

Nalić, Jasmina ; Martinović, Goran Building a Credit Scoring Model Based on Data Mining Approaches // International journal of software engineering and knowledge engineering, 30 (2020), 2; 147-169. doi: 10.1142/S0218194020500072

Podaci o odgovornosti

Nalić, Jasmina ; Martinović, Goran

engleski

Building a Credit Scoring Model Based on Data Mining Approaches

Nowadays, one of the biggest challenges in banking sector, certainly, is assessment of the client's creditworthiness. In order to improve the decision-making process and risk management, banks resort to using data mining techniques for hidden patterns recognition within a wide data. The main objective of this study is to build a high performance customized credit scoring model. The model named Reliable client is based on bank's real dataset and originally built by applying four different classification algorithms: decision tree (DT), naive Bayes (NB), generalized linear model (GLM) and support vector machine (SVM). Since it showed the greatest results, but also seemed as the most appropriate algorithm, adopted model is based on GLM algorithm. The results of this model are presented based on many performance measures that showed great predictive confidence and accuracy, but we also demonstrated significant impact of data pre-processing on model performance. Statistical analysis of the model identified parameters of great impact (with the greatest) on model outcome. At the end, created Credit scoring model was evaluated using another set of real data of the same bank.

classification ; credit scoring ; data mining ; Generalized Linear Model (GLM) ; logistic regression (LR)

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Podaci o izdanju

30 (2)

2020.

147-169

objavljeno

0218-1940

1793-6403

10.1142/S0218194020500072

Povezanost rada

nije evidentirano

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