Application of eXtreme gradient boosting trees in the construction of credit risk assessment models for financial institutions

• Published in: Applied soft computing Vol. 73; pp. 914 - 920
• Main Authors: Chang, Yung-Chia, Chang, Kuei-Hu, Wu, Guan-Jhih
• Format: Journal Article
• Language: English
• Published: Elsevier B.V 01.12.2018
• Subjects: Credit risk assessment model; eXtreme gradient boosting tree; Receiver operative curve; Support vector machine; Credit risk assessment model; Support vector machine; Receiver operative curve; eXtreme gradient boosting tree

The majority of the studies on credit risk assessment models for financial institutions during recent years focus on the improvement of imbalanced data or on the enhancement of classification accuracy with multistage modeling. Whilst multistage modeling and data pre-processing can boost accuracy som...