Physical Sciences and Mathematics Commons^™

Developing And Improving Risk Models Using Machine-Learning Based Algorithms, Yan Wang, Sherry Ni

Published and Grey Literature from PhD Candidates

The objective of this study is to develop a good risk model for classifying business delinquency by simultaneously exploring several machine learning-based methods including regularization, hyperparameter optimization, and model ensembling algorithms. The rationale under the analyses is firstly to obtain good base binary classifiers (include Logistic Regression (LR), K-Nearest Neighbors (KNN ), Decision Tree (DT), and Artificial Neural Networks (ANN )) via regularization and appropriate settings of hyper-parameters. Then two model ensembling algorithms including bagging and boosting are performed on the good base classifiers for further model improvement. The models are evaluated using accuracy, Area Under the Receiver Operating Characteristic …