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    题名: Machine learning and artificial neural networks to construct P2P lending credit-scoring model: A case using Lending Club data
    作者: 蔡瑞煌
    Tsaih, Rua-Huan;Chang, An-Hsing;Yang, Li-Kai;Lin, Shih-Kuei
    贡献者: 資管系
    关键词: P2P lending;credit score;machine learning;artificial neural networks;feature engineering;Lending Club
    日期: 2022-06
    上传时间: 2024-01-29 09:12:18 (UTC+8)
    摘要: In this study, we constructed the credit-scoring model of P2P loans by using several machine learning and artificial neural network (ANN) methods, including logistic regression (LR), a support vector machine, a decision tree, random forest, XGBoost, LightGBM and 2-layer neural networks. This study explores several hyperparameter settings for each method by performing a grid search and cross-validation to get the most suitable credit-scoring model in terms of training time and test performance. In this study, we get and clean the open P2P loan data from Lending Club with feature engineering concepts. In order to find significant default factors, we used an XGBoost method to pre-train all data and get the feature importance. The 16 selected features can provide economic implications for research about default prediction in P2P loans. Besides, the empirical result shows that gradient-boosting decision tree methods, including XGBoost and LightGBM, outperform ANN and LR methods, which are commonly used for traditional credit scoring. Among all of the methods, XGBoost performed the best.
    關聯: Quantitative Finance and Economics, Vol.6, No.2, pp.303-325
    数据类型: article
    DOI 連結: https://doi.org/10.3934/QFE.2022013
    DOI: 10.3934/QFE.2022013
    显示于类别:[資訊管理學系] 期刊論文

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