Search

With rapid development of financial services and products, credit risk assessment has recently gained considerable attention in the field of financial risk management. In this paper, an improved credit risk assessment approach is presented. Based on the credit data from China Banking Regulatory Commission (CBRC), a multi-dimensional and multi-level credit risk indicator system is constructed. In particular, we present an improved sequential minimal optimization (SMO) learning algorithm, named four-variable SMO (FV-SMO), for credit risk classification model. At each iteration, it jointly selects four variables into the working set and an theorem is proposed to guarantee the analytical solution of sub-problem. The assessment is made on China credit dataset and two benchmark credit datasets from UCI database and CD-ROM database. Experimental results demonstrate FV-SMO is competitive in saving the computational cost and outperforms other five state-of-the-art classification methods in credit risk assessment accuracy. [ABSTRACT FROM AUTHOR]

Abstract: The recent years have witnessed a growing interest in two advanced strategies to cope with the data clustering problem, namely, clustering ensembles and multi-objective clustering. In this paper, we present a genetic programming based approach that can be considered as a hybrid of these strategies, thereby allowing that different hierarchical clustering ensembles be simultaneously evolved taking into account complementary validity indices. Results of computational experiments conducted with artificial and real datasets indicate that, in most of the cases, at least one of the Pareto optimal partitions returned by the proposed approach compares favorably or go in par with the consensual partitions yielded by two well-known clustering ensemble methods in terms of clustering quality, as gauged by the corrected Rand index. [ABSTRACT FROM AUTHOR]