메뉴 건너뛰기




Volumn 42, Issue 6, 2015, Pages 3194-3204

Selection of Support Vector Machines based classifiers for credit risk domain

Author keywords

Classification; Credit risk; Default assessment; Particle swarm optimization; Support Vector Machines; SVM

Indexed keywords


EID: 84919935619     PISSN: 09574174     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.eswa.2014.12.001     Document Type: Article
Times cited : (128)

References (65)
  • 1
    • 84980104458 scopus 로고
    • Financial ratios, discriminant analysis and the prediction of corporate bankruptcy
    • E.I. Altman Financial ratios, discriminant analysis and the prediction of corporate bankruptcy The Journal of Finance 23 4 1968 589 609
    • (1968) The Journal of Finance , vol.23 , Issue.4 , pp. 589-609
    • Altman, E.I.1
  • 2
    • 79151470578 scopus 로고    scopus 로고
    • Combining models from neural networks and inductive learning algorithms
    • J.K. Bae, and J. Kim Combining models from neural networks and inductive learning algorithms Expert Systems with Applications 38 5 2011 4839 4850
    • (2011) Expert Systems with Applications , vol.38 , Issue.5 , pp. 4839-4850
    • Bae, J.K.1    Kim, J.2
  • 4
    • 53349152341 scopus 로고    scopus 로고
    • Bankruptcy classification errors in the 1980s: An empirical analysis of Altman's and Ohlson's models
    • J. Begley, J. Ming, and S.G. Watts Bankruptcy classification errors in the 1980s: An empirical analysis of Altman's and Ohlson's models Review of Accounting Studies 1 4 1996 267 284
    • (1996) Review of Accounting Studies , vol.1 , Issue.4 , pp. 267-284
    • Begley, J.1    Ming, J.2    Watts, S.G.3
  • 7
    • 60249090307 scopus 로고    scopus 로고
    • Differential evolution trained wavelet neural networks: Application to bankruptcy prediction in banks
    • N. Chauhan, V. Ravi, and Chandra.D. Karthik Differential evolution trained wavelet neural networks: Application to bankruptcy prediction in banks Expert Systems with Applications 36 4 2009 7659 7665
    • (2009) Expert Systems with Applications , vol.36 , Issue.4 , pp. 7659-7665
    • Chauhan, N.1    Ravi, V.2    Karthik Chandra., D.3
  • 8
    • 60249097374 scopus 로고    scopus 로고
    • Alternative diagnosis of corporate bankruptcy: A neuro fuzzy approach
    • H.-J. Chen, S.Y. Huang, and C.-S. Lin Alternative diagnosis of corporate bankruptcy: A neuro fuzzy approach Expert Systems with Applications 36 4 2009 7710 7720
    • (2009) Expert Systems with Applications , vol.36 , Issue.4 , pp. 7710-7720
    • Chen, H.-J.1    Huang, S.Y.2    Lin, C.-S.3
  • 9
    • 34249753618 scopus 로고
    • Support-vector networks
    • C. Cortes, and V. Vapnik Support-vector networks Machine Learning 20 3 1995 273 297
    • (1995) Machine Learning , vol.20 , Issue.3 , pp. 273-297
    • Cortes, C.1    Vapnik, V.2
  • 10
    • 75449088834 scopus 로고    scopus 로고
    • Support vector machines and their application in credit risk evaluation process
    • P. Danenas, and G. Garsva Support vector machines and their application in credit risk evaluation process Transformations in Business & Economics 8 3, Suppl. B 2009 57 69
    • (2009) Transformations in Business & Economics , vol.8 , Issue.3 , pp. 57-69
    • Danenas, P.1    Garsva, G.2
  • 12
    • 84881283632 scopus 로고    scopus 로고
    • Credit risk evaluation modeling using evolutionary linear SVM classifiers and sliding window approach
    • P. Danenas, and G. Garsva Credit risk evaluation modeling using evolutionary linear SVM classifiers and sliding window approach Procedia Computer Science 9 2012 1324 1333
    • (2012) Procedia Computer Science , vol.9 , pp. 1324-1333
    • Danenas, P.1    Garsva, G.2
  • 13
    • 79958287678 scopus 로고    scopus 로고
    • Credit risk evaluation model development using support vector based classifiers
    • P. Danenas, G. Garsva, and S. Gudas Credit risk evaluation model development using support vector based classifiers Procedia Computer Science 4 2011 1699 1707
    • (2011) Procedia Computer Science , vol.4 , pp. 1699-1707
    • Danenas, P.1    Garsva, G.2    Gudas, S.3
  • 14
    • 0000275837 scopus 로고
    • A discriminant analysis of predictors of business failure
    • E. Deakin A discriminant analysis of predictors of business failure Journal of Accounting Research 10 1972 167 179
    • (1972) Journal of Accounting Research , vol.10 , pp. 167-179
    • Deakin, E.1
  • 15
    • 81855176118 scopus 로고    scopus 로고
    • Comparing alternative classifiers for database marketing: The case of imbalanced datasets
    • E. Duman, Y. Ekinci, and A. TanrIverdi Comparing alternative classifiers for database marketing: The case of imbalanced datasets Expert Systems with Applications 39 1 2012 48 53
    • (2012) Expert Systems with Applications , vol.39 , Issue.1 , pp. 48-53
    • Duman, E.1    Ekinci, Y.2    Tanriverdi, A.3
  • 19
    • 84888373039 scopus 로고    scopus 로고
    • Particle swarm optimization for linear support vector machines based classifier selection
    • G. Garsva, and P. Danenas Particle swarm optimization for linear support vector machines based classifier selection Nonlinear Analysis: Modelling and Control 19 1 2014 26 42
    • (2014) Nonlinear Analysis: Modelling and Control , vol.19 , Issue.1 , pp. 26-42
    • Garsva, G.1    Danenas, P.2
  • 20
    • 84919926457 scopus 로고    scopus 로고
    • A hybrid support vector machine ensemble model for credit scoring
    • A. Ghodselahi A hybrid support vector machine ensemble model for credit scoring International Journal of Computer Applications 17 5 2011 1 5
    • (2011) International Journal of Computer Applications , vol.17 , Issue.5 , pp. 1-5
    • Ghodselahi, A.1
  • 21
    • 9244260899 scopus 로고    scopus 로고
    • The limitations of bankruptcy prediction models: Some cautions for the researcher
    • J.S. Grice, and M.T. Dugan The limitations of bankruptcy prediction models: some cautions for the researcher Review of Quantitative Finance and Accounting 17 2 2001 151 166
    • (2001) Review of Quantitative Finance and Accounting , vol.17 , Issue.2 , pp. 151-166
    • Grice, J.S.1    Dugan, M.T.2
  • 22
    • 0041370142 scopus 로고    scopus 로고
    • Tests of the generalizability of Altman's bankruptcy prediction model
    • J.S. Grice, and R.W. Ingram Tests of the generalizability of Altman's bankruptcy prediction model Journal of Business Research 54 2001 53 61
    • (2001) Journal of Business Research , vol.54 , pp. 53-61
    • Grice, J.S.1    Ingram, R.W.2
  • 24
    • 84876046068 scopus 로고    scopus 로고
    • Quantitative credit risk assessment using support vector machines: Broad versus narrow default definitions
    • T. Harris Quantitative credit risk assessment using support vector machines: Broad versus narrow default definitions Expert Systems with Applications 40 11 2013 4404 4413
    • (2013) Expert Systems with Applications , vol.40 , Issue.11 , pp. 4404-4413
    • Harris, T.1
  • 25
    • 84907481786 scopus 로고    scopus 로고
    • Credit scoring using the clustered support vector machine
    • T. Harris Credit scoring using the clustered support vector machine Expert Systems with Applications 42 2 2015 741 750
    • (2015) Expert Systems with Applications , vol.42 , Issue.2 , pp. 741-750
    • Harris, T.1
  • 26
    • 84879466018 scopus 로고    scopus 로고
    • Company failure prediction in the construction industry
    • I.M. Horta, and A.S. Camanho Company failure prediction in the construction industry Expert Systems with Applications 40 16 2013 6253 6257
    • (2013) Expert Systems with Applications , vol.40 , Issue.16 , pp. 6253-6257
    • Horta, I.M.1    Camanho, A.S.2
  • 27
    • 70349580621 scopus 로고    scopus 로고
    • A data driven ensemble classifier for credit scoring analysis
    • N.-C. Hsieh, and L.-P. Hung A data driven ensemble classifier for credit scoring analysis Expert Systems with Applications 37 1 2010 534 545
    • (2010) Expert Systems with Applications , vol.37 , Issue.1 , pp. 534-545
    • Hsieh, N.-C.1    Hung, L.-P.2
  • 30
    • 77955917628 scopus 로고    scopus 로고
    • Consumer credit-risk models via machine-learning algorithms
    • A.E. Khandani, A.J. Kim, and A.W. Lo Consumer credit-risk models via machine-learning algorithms Journal of Banking & Finance 34 11 2010 2767 2787
    • (2010) Journal of Banking & Finance , vol.34 , Issue.11 , pp. 2767-2787
    • Khandani, A.E.1    Kim, A.J.2    Lo, A.W.3
  • 31
    • 84855202615 scopus 로고    scopus 로고
    • A corporate credit rating model using multi-class support vector machines with an ordinal pairwise partitioning approach
    • K. Kim, and H. Ahn A corporate credit rating model using multi-class support vector machines with an ordinal pairwise partitioning approach Computers & Operations Research 39 8 2012 1800 1811
    • (2012) Computers & Operations Research , vol.39 , Issue.8 , pp. 1800-1811
    • Kim, K.1    Ahn, H.2
  • 33
    • 84878300417 scopus 로고    scopus 로고
    • Consumer credit risk: Individual probability estimates using machine learning
    • J. Kruppa, A. Schwarz, G. Arminger, and A. Ziegler Consumer credit risk: Individual probability estimates using machine learning Expert Systems with Applications 40 13 2013 5125 5131
    • (2013) Expert Systems with Applications , vol.40 , Issue.13 , pp. 5125-5131
    • Kruppa, J.1    Schwarz, A.2    Arminger, G.3    Ziegler, A.4
  • 34
    • 33746773632 scopus 로고    scopus 로고
    • Credit risk evaluation with least square support vector machine
    • G.-Y. Wang, J.F. Peters, A. Skowron, Y. Yao, Lecture Notes in Computer Science Springer Berlin Heidelberg
    • K.K. Lai, L. Yu, L. Zhou, and S. Wang Credit risk evaluation with least square support vector machine G.-Y. Wang, J.F. Peters, A. Skowron, Y. Yao, Rough sets and knowledge technology Lecture Notes in Computer Science Vol. 4062 2006 Springer Berlin Heidelberg 490 495
    • (2006) Rough Sets and Knowledge Technology , vol.4062 , pp. 490-495
    • Lai, K.K.1    Yu, L.2    Zhou, L.3    Wang, S.4
  • 37
    • 80855132450 scopus 로고    scopus 로고
    • Improved conjugate gradient implementation for least squares support vector machines
    • B. Li, S. Song, and K. Li Improved conjugate gradient implementation for least squares support vector machines Pattern Recognition Letters 33 2 2012 121 125
    • (2012) Pattern Recognition Letters , vol.33 , Issue.2 , pp. 121-125
    • Li, B.1    Song, S.2    Li, K.3
  • 38
    • 48749109333 scopus 로고    scopus 로고
    • Particle swarm optimization for parameter determination and feature selection of support vector machines
    • S.-W. Lin, K.-C. Ying, S.-C. Chen, and Z.-J. Lee Particle swarm optimization for parameter determination and feature selection of support vector machines Expert Systems with Applications 35 4 2008 1817 1824
    • (2008) Expert Systems with Applications , vol.35 , Issue.4 , pp. 1817-1824
    • Lin, S.-W.1    Ying, K.-C.2    Chen, S.-C.3    Lee, Z.-J.4
  • 39
    • 77956611805 scopus 로고    scopus 로고
    • Tax forecasting theory and model based on SVM optimized by PSO
    • L. Li-xia, Z. Yi-qi, and X. Liu Tax forecasting theory and model based on SVM optimized by PSO Expert Systems with Applications 38 2011 116 120
    • (2011) Expert Systems with Applications , vol.38 , pp. 116-120
    • Li-Xia, L.1    Yi-Qi, Z.2    Liu, X.3
  • 41
    • 84896741326 scopus 로고    scopus 로고
    • Combining market and accounting-based models for credit scoring using a classification scheme based on support vector machines
    • D. Niklis, M. Doumpos, and C. Zopounidis Combining market and accounting-based models for credit scoring using a classification scheme based on support vector machines Applied Mathematics and Computation 234 2014 69 81
    • (2014) Applied Mathematics and Computation , vol.234 , pp. 69-81
    • Niklis, D.1    Doumpos, M.2    Zopounidis, C.3
  • 42
    • 0000666375 scopus 로고
    • Financial ratios and the probabilistic prediction of bankruptcy
    • J. Ohlson Financial ratios and the probabilistic prediction of bankruptcy Journal of Accounting Research 18 1 1980 109 131
    • (1980) Journal of Accounting Research , vol.18 , Issue.1 , pp. 109-131
    • Ohlson, J.1
  • 43
    • 84893553584 scopus 로고    scopus 로고
    • Cost-Sensitive support vector machine for semi-supervised learning
    • Zh. Qi, Y. Tian, Y. Shi, and X. Yu Cost-Sensitive support vector machine for semi-supervised learning Procedia Computer Science 18 2013 1684 1689
    • (2013) Procedia Computer Science , vol.18 , pp. 1684-1689
    • Qi, Zh.1    Tian, Y.2    Shi, Y.3    Yu, X.4
  • 45
    • 0008104389 scopus 로고    scopus 로고
    • Forecasting bankruptcy more accurately: A simple hazard model
    • T. Shumway Forecasting bankruptcy more accurately: A simple hazard model Journal of Business 74 1 2001 101 124
    • (2001) Journal of Business , vol.74 , Issue.1 , pp. 101-124
    • Shumway, T.1
  • 47
    • 0032638628 scopus 로고    scopus 로고
    • Least squares support vector machine classifiers
    • J.A.K. Suykens, and J. Vandewalle Least squares support vector machine classifiers Neural Processing Letters 9 3 1999 293 300
    • (1999) Neural Processing Letters , vol.9 , Issue.3 , pp. 293-300
    • Suykens, J.A.K.1    Vandewalle, J.2
  • 48
    • 0000915681 scopus 로고
    • Forecasting company failure in the UK using discriminant analysis and financial ratio data
    • R. Taffler Forecasting company failure in the UK using discriminant analysis and financial ratio data Journal of the Royal Statistical Society. Series A (General) 145 1982 342 358
    • (1982) Journal of the Royal Statistical Society. Series A (General) , vol.145 , pp. 342-358
    • Taffler, R.1
  • 49
    • 79551644528 scopus 로고    scopus 로고
    • Particle swarm optimization: Hybridization perspectives and experimental illustrations
    • R. Thangaraj, M. Pant, A. Abraham, and P. Bouvry Particle swarm optimization: Hybridization perspectives and experimental illustrations Applied Mathematics and Computation 217 12 2011 5208 5226
    • (2011) Applied Mathematics and Computation , vol.217 , Issue.12 , pp. 5208-5226
    • Thangaraj, R.1    Pant, M.2    Abraham, A.3    Bouvry, P.4
  • 50
    • 38649113538 scopus 로고    scopus 로고
    • Using neural network ensembles for bankruptcy prediction and credit scoring
    • C. Tsai, and J. Wu Using neural network ensembles for bankruptcy prediction and credit scoring Expert Systems with Applications 34 4 2008 2639 2649
    • (2008) Expert Systems with Applications , vol.34 , Issue.4 , pp. 2639-2649
    • Tsai, C.1    Wu, J.2
  • 53
    • 84855863614 scopus 로고    scopus 로고
    • A hybrid ensemble approach for enterprise credit risk assessment based on Support Vector Machine
    • G. Wang, and J. Ma A hybrid ensemble approach for enterprise credit risk assessment based on Support Vector Machine Expert Systems with Applications 39 5 2012 5325 5331
    • (2012) Expert Systems with Applications , vol.39 , Issue.5 , pp. 5325-5331
    • Wang, G.1    Ma, J.2
  • 54
    • 0034045697 scopus 로고    scopus 로고
    • A bibliography of neural network business applications research: 1994-1998
    • B.K. Wong, V.S. Lai, and J. Lam A bibliography of neural network business applications research: 1994-1998 Computers & Operations Research 27 2000 1045 1076
    • (2000) Computers & Operations Research , vol.27 , pp. 1045-1076
    • Wong, B.K.1    Lai, V.S.2    Lam, J.3
  • 55
    • 0008400478 scopus 로고    scopus 로고
    • Neural network applications in finance: A review and analysis of literature (1990-1996)
    • B. Wong, and Y. Selvi Neural network applications in finance: A review and analysis of literature (1990-1996) Information & Management 34 1998 129 139
    • (1998) Information & Management , vol.34 , pp. 129-139
    • Wong, B.1    Selvi, Y.2
  • 56
    • 33751068050 scopus 로고    scopus 로고
    • A real-valued genetic algorithm to optimize the parameters of support vector machine for predicting bankruptcy
    • C. Wu, G. Tzeng, Y. Goo, and W. Fang A real-valued genetic algorithm to optimize the parameters of support vector machine for predicting bankruptcy Expert Systems with Applications 32 2 2007 397 408
    • (2007) Expert Systems with Applications , vol.32 , Issue.2 , pp. 397-408
    • Wu, C.1    Tzeng, G.2    Goo, Y.3    Fang, W.4
  • 57
    • 36148959733 scopus 로고    scopus 로고
    • Credit risk assessment with a multistage neural network ensemble learning approach
    • L. Yu, S. Wang, and K.K. Lai Credit risk assessment with a multistage neural network ensemble learning approach Expert Systems with Applications 34 2 2008 1434 1444
    • (2008) Expert Systems with Applications , vol.34 , Issue.2 , pp. 1434-1444
    • Yu, L.1    Wang, S.2    Lai, K.K.3
  • 58
    • 80052023180 scopus 로고    scopus 로고
    • Credit risk evaluation using a weighted least squares SVM classifier with design of experiment for parameter selection
    • L. Yu, X. Yao, S. Wang, and K.K. Lai Credit risk evaluation using a weighted least squares SVM classifier with design of experiment for parameter selection Expert Systems with Applications 38 2011 15392 15399
    • (2011) Expert Systems with Applications , vol.38 , pp. 15392-15399
    • Yu, L.1    Yao, X.2    Wang, S.3    Lai, K.K.4
  • 59
    • 71749114830 scopus 로고    scopus 로고
    • Support vector machine based multiagent ensemble learning for credit risk evaluation
    • L. Yu, W. Yue, S. Wang, and K.K. Lai Support vector machine based multiagent ensemble learning for credit risk evaluation Expert Systems with Applications 37 2 2010 1351 1360
    • (2010) Expert Systems with Applications , vol.37 , Issue.2 , pp. 1351-1360
    • Yu, L.1    Yue, W.2    Wang, S.3    Lai, K.K.4
  • 61
    • 84898786664 scopus 로고    scopus 로고
    • Credit risk evaluation using multi-criteria optimization classifier with kernel, fuzzification and penalty factors
    • Z. Zhang, G. Gao, and Y. Shi Credit risk evaluation using multi-criteria optimization classifier with kernel, fuzzification and penalty factors European Journal of Operational Research 237 2014 335 348
    • (2014) European Journal of Operational Research , vol.237 , pp. 335-348
    • Zhang, Z.1    Gao, G.2    Shi, Y.3
  • 64
    • 70349437327 scopus 로고    scopus 로고
    • Least squares support vector machines ensemble models for credit scoring
    • L. Zhou, K.K. Lai, and L. Yu Least squares support vector machines ensemble models for credit scoring Expert Systems with Applications 37 1 2010 127 133
    • (2010) Expert Systems with Applications , vol.37 , Issue.1 , pp. 127-133
    • Zhou, L.1    Lai, K.K.2    Yu, L.3
  • 65
    • 0001953906 scopus 로고
    • Methodological issues related to the estimation of financial distress prediction models
    • M. Zmijewski Methodological issues related to the estimation of financial distress prediction models Journal of Accounting Research 22 1984 59 82
    • (1984) Journal of Accounting Research , vol.22 , pp. 59-82
    • Zmijewski, M.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.