A Comparative Performance Assessment of Ensemble Learning for Credit Scoring

• Published in: Mathematics (Basel) Vol. 8; no. 10; p. 1756
• Main Authors: Li, Yiheng, Chen, Weidong
• Format: Journal Article
• Language: English
• Published: Basel MDPI AG 01-10-2020
• Subjects: Accuracy; Algorithms; Artificial intelligence; baseline classifiers; Classification; Classifiers; comparative assessment; Credit risk; Credit scoring; Datasets; Decision trees; Discriminant analysis; Ensemble learning; Feature selection; Financial institutions; Financial management; Food science; Machine learning; Neural networks; Performance assessment; Performance evaluation; Scoring models; Statistical analysis; Support vector machines
• ISSN: 2227-7390; 2227-7390
• DOI: 10.3390/math8101756

Extensive research has been performed by organizations and academics on models for credit scoring, an important financial management activity. With novel machine learning models continue to be proposed, ensemble learning has been introduced into the application of credit scoring, several researches have addressed the supremacy of ensemble learning. In this research, we provide a comparative performance evaluation of ensemble algorithms, i.e., random forest, AdaBoost, XGBoost, LightGBM and Stacking, in terms of accuracy (ACC), area under the curve (AUC), Kolmogorov–Smirnov statistic (KS), Brier score (BS), and model operating time in terms of credit scoring. Moreover, five popular baseline classifiers, i.e., neural network (NN), decision tree (DT), logistic regression (LR), Naïve Bayes (NB), and support vector machine (SVM) are considered to be benchmarks. Experimental findings reveal that the performance of ensemble learning is better than individual learners, except for AdaBoost. In addition, random forest has the best performance in terms of five metrics, XGBoost and LightGBM are close challengers. Among five baseline classifiers, logistic regression outperforms the other classifiers over the most of evaluation metrics. Finally, this study also analyzes reasons for the poor performance of some algorithms and give some suggestions on the choice of credit scoring models for financial institutions.