Modeling consumer loan default prediction using ensemble neural networks

Amira Kamil Ibrahim Hassan, Ajith Abraham
2013 2013 INTERNATIONAL CONFERENCE ON COMPUTING, ELECTRICAL AND ELECTRONIC ENGINEERING (ICCEEE)  
In this paper, a loan default prediction model is constricted using three different training algorithms, to train a supervised two-layer feed-forward network to produce the prediction model. But first, two attribute filtering functions were used, resulting in two data sets with reduced attributes and the original data-set. Back propagation based learning algorithms was used for training the network. The neural networks are trained using real world credit application cases from a German bank
more » ... sets which has 1000 cases; each case with 24 numerical attributes; upon, which the decision is based. The aim of this paper was to compare between the resulting models produced from using different training algorithms, scaled conjugate gradient backpropagation, Levenberg-Marquardt algorithm, One-step secant backpropagation (SCG, LM and OSS) and an ensemble of SCG, LM and OSS. Empirical results indicate that training algorithms improve the design of a loan default prediction model and ensemble model works better than the individual models. Index Termscredit risk, loan default, neural network, scaled conjugate gradient backpropagation, Levenberg-Marquardt algorithm and One-step secant backpropagation.
doi:10.1109/icceee.2013.6634029 fatcat:sy7u4jllznhrvhoxr2izdz5zem