Credit Decision Support Based on Real Set of Cash Loans Using Integrated Machine Learning Algorithms

• Main Authors: Paweł Ziemba, Jarosław Becker, Aneta Becker, Aleksandra Radomska-Zalas, Mateusz Pawluk, Dariusz Wierzba
• Format: Article
• Language: English
• Published: MDPI AG 2021-08-01
• Series: Electronics
• Subjects: credit scoring; cash loans; machine learning; decision model; classification; feature selection
• Online Access: https://www.mdpi.com/2079-9292/10/17/2099

One of the important research problems in the context of financial institutions is the assessment of credit risk and the decision to whether grant or refuse a loan. Recently, machine learning based methods are increasingly employed to solve such problems. However, the selection of appropriate feature selection technique, sampling mechanism, and/or classifiers for credit decision support is very challenging, and can affect the quality of the loan recommendations. To address this challenging task, this article examines the effectiveness of various data science techniques in issue of credit decision support. In particular, processing pipeline was designed, which consists of methods for data resampling, feature discretization, feature selection, and binary classification. We suggest building appropriate decision models leveraging pertinent methods for binary classification, feature selection, as well as data resampling and feature discretization. The selected models’ feasibility analysis was performed through rigorous experiments on real data describing the client’s ability for loan repayment. During experiments, we analyzed the impact of feature selection on the results of binary classification, and the impact of data resampling with feature discretization on the results of feature selection and binary classification. After experimental evaluation, we found that correlation-based feature selection technique and random forest classifier yield the superior performance in solving underlying problem.