Neural Networks For Credit Risk Management: A case study in the car financing industry

ANNA, MATUSZYK and HSIN-VONN, SEOW and MARTIN, MULLER and STEFAN, LESSMANN (2015) Neural Networks For Credit Risk Management: A case study in the car financing industry. In: Fourth International Conference On Advances in Economics, Management and Social Study - EMS 2015, 26-27 September, 2015, Kuala Lumpur, Malaysia.

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Abstract

The paper aims at examining the degree to which artificial neural networks are a suitable approach to aid risk management in the car financing industry. More specifically, we empirically compare a classic feedforward neural network to a recently proposed extreme learning machine. To that end, we employ a real-world credit data set from a leading car financing company in Poland is used to assess each classifier’s accuracy. To systematically study the suitability of the two methods, our study comprises multiple experimental factors including the type of the neural network, whether or not it is embedded into an ensemble learning framework, and strategies to mitigate class imbalance.

Item Type: Conference or Workshop Item (Paper)
Uncontrolled Keywords: credit risk, decision support, data analytics
Depositing User: Mr. John Steve
Date Deposited: 26 Apr 2019 04:31
Last Modified: 26 Apr 2019 04:31
URI: http://publications.theired.org/id/eprint/1453

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