A neural network model for credit risk evaluation.
ABSTRACT Credit scoring is one of the key analytical techniques in credit risk evaluation which has been an active research area in financial risk management. This paper presents a credit risk evaluation system that uses a neural network model based on the back propagation learning algorithm. We train and implement the neural network to decide whether to approve or reject a credit application, using seven learning schemes and real world credit applications from the Australian credit approval datasets. A comparison of the system performance under the different learning schemes is provided, furthermore, we compare the performance of two neural networks; with one and two hidden layers following the ideal learning scheme. Experimental results suggest that neural networks can be effectively used in automatic processing of credit applications.
- SourceAvailable from: Alexis Marcano CedeñoInternational Journal of Neural Systems 01/2011; 21:311-317. · 5.05 Impact Factor
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ABSTRACT: The Graphics Processing Unit (GPU) originally designed for rendering graphics and which is difficult to program for other tasks, has since evolved into a device suitable for general-purpose computations. As a result graphics hardware has become progressively more attractive yielding unprecedented performance at a relatively low cost. Thus, it is the ideal candidate to accelerate a wide variety of data parallel tasks in many fields such as in Machine Learning (ML). As problems become more and more demanding, parallel implementations of learning algorithms are crucial for a useful application. In particular, the implementation of Neural Networks (NNs) in GPUs can significantly reduce the long training times during the learning process. In this paper we present a GPU parallel implementation of the Back-Propagation (BP) and Multiple Back-Propagation (MBP) algorithms, and describe the GPU kernels needed for this task. The results obtained on well-known benchmarks show faster training times and improved performances as compared to the implementation in traditional hardware, due to maximized floating-point throughput and memory bandwidth. Moreover, a preliminary GPU based Autonomous Training System (ATS) is developed which aims at automatically finding high-quality NNs-based solutions for a given problem.International Journal of Neural Systems 02/2011; 21(1):31-47. · 5.05 Impact Factor
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ABSTRACT: The assessment of the risk of default on credit is important for financial institutions. Different Artificial Neural Networks (ANN) have been suggested to tackle the credit scoring problem, however, the obtained error rates are often high. In the search for the best ANN algorithm for credit scoring, this paper contributes with the application of an ANN Training Algorithm inspired by the neurons' biological property of metaplasticity. This algorithm is especially efficient when few patterns of a class are available, or when information inherent to low probability events is crucial for a successful application, as weight updating is overemphasized in the less frequent activations than in the more frequent ones. Two well-known and readily available such as: Australia and German data sets has been used to test the algorithm. The results obtained by AMMLP shown have been superior to state-of-the-art classification algorithms in credit scoring.International Journal of Neural Systems 08/2011; 21(4):311-7. · 5.05 Impact Factor