1. Modelling customers credit card behaviour using bidirectional LSTM neural networks
- Author
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Munir Majdalawieh, Maher Ala’raj, and Maysam F. Abbod
- Subjects
0209 industrial biotechnology ,Computer engineering. Computer hardware ,Information Systems and Management ,Computer Networks and Communications ,Computer science ,media_common.quotation_subject ,behavioural scoring ,02 engineering and technology ,Information technology ,Machine learning ,computer.software_genre ,TK7885-7895 ,020901 industrial engineering & automation ,Behavioural scoring ,0202 electrical engineering, electronic engineering, information engineering ,Consumer behaviour ,media_common ,Artificial neural network ,business.industry ,Bidirectional LSTM ,QA75.5-76.95 ,Perceptron ,Payment ,neural networks ,Classification ,T58.5-58.64 ,Random forest ,Support vector machine ,Credit card ,Brier score ,classification ,Hardware and Architecture ,Electronic computers. Computer science ,020201 artificial intelligence & image processing ,Artificial intelligence ,bidirectional LSTM ,business ,computer ,Neural networks ,Information Systems - Abstract
Availability of data and materials: The dataset used for supporting the conclusions of this paper is available from the public data repository at https://archive.ics.uci.edu/ml/index.php. The dataset is available at: https://archive.ics.uci.edu/ml/datasets/default+of+credit+card+clients. Copyright © The Author(s) 2021. With the rapid growth of consumer credit and the huge amount of financial data developing effective credit scoring models is very crucial. Researchers have developed complex credit scoring models using statistical and artificial intelligence (AI) techniques to help banks and financial institutions to support their financial decisions. Neural networks are considered as a mostly wide used technique in finance and business applications. Thus, the main aim of this paper is to help bank management in scoring credit card clients using machine learning by modelling and predicting the consumer behaviour with respect to two aspects: the probability of single and consecutive missed payments for credit card customers. The proposed model is based on the bidirectional Long-Short Term Memory (LSTM) model to give the probability of a missed payment during the next month for each customer. The model was trained on a real credit card dataset and the customer behavioural scores are analysed using classical measures such as accuracy, Area Under the Curve, Brier score, Kolmogorov–Smirnov test, and H-measure. Calibration analysis of the LSTM model scores showed that they can be considered as probabilities of missed payments. The LSTM model was compared to four traditional machine learning algorithms: support vector machine, random forest, multi-layer perceptron neural network, and logistic regression. Experimental results show that, compared with traditional methods, the consumer credit scoring method based on the LSTM neural network has significantly improved consumer credit scoring. Office of Research, Zayed University under Grant Number R20053.
- Published
- 2021