Journal
INTERNATIONAL JOURNAL OF INFORMATION TECHNOLOGY & DECISION MAKING
Volume 8, Issue 4, Pages 697-710Publisher
WORLD SCIENTIFIC PUBL CO PTE LTD
DOI: 10.1142/S0219622009003600
Keywords
Least squares support vector machine classifier; regularization parameter; prior knowledge; credit risk analysis
Categories
Funding
- National Natural Science Foundation of China
- RGC Joint Research Scheme
- Innovation Program of the Chinese Academy of Sciences
- Research Institute of Philosophies and Social Sciences in Hunan Universities
Ask authors/readers for more resources
In this paper, a modified least squares support vector machine classifier, called the C-variable least squares support vector machine (C-VLSSVM) classifier, is proposed for credit risk analysis. The main idea of the proposed classifier is based on the prior knowledge that different classes may have different importance for modeling and more weight should be given to classes having more importance. The C-VLSSVM classifier can be obtained by a simple modification of the regularization parameter, based on the least squares support vector machine (LSSVM) classifier, whereby more weight is given to errors in classification of important classes, than to errors in classification of unimportant classes, while keeping the regularized terms in their original form. For illustration purpose, two real-world credit data sets are used to verify the effectiveness of the C-VLSSVM classifier. Experimental results obtained reveal that the proposed C-VLSSVM classifier can produce promising classification results in credit risk analysis, relative to other classifiers listed in this study.
Authors
I am an author on this paper
Click your name to claim this paper and add it to your profile.
Reviews
Recommended
No Data Available