Credit rating with a monotonicity-constrained support vector machine model

@article{Chen2014CreditRW,
  title={Credit rating with a monotonicity-constrained support vector machine model},
  author={Chih-Chuan Chen and Sheng-Tun Li},
  journal={Expert Syst. Appl.},
  year={2014},
  volume={41},
  pages={7235-7247}
}
Deciding whether borrowers can fulfill their obligations is a major issue for financial institutions, and while various credit rating models have been developed to help achieve this, they cannot reflect the domain knowledge of human experts. This paper proposes a new rating model based on a support vector machine with monotonicity constraints derived from the prior knowledge of financial experts. Experiments conducted on real-world data sets show that the proposed method, not only data driven… CONTINUE READING

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