Author, as appears in the article.: Jimbo Santana, Patricia; Lanzarini, Laura; Bariviera, Aurelio F.;
Department: Gestió d'Empreses
URV's Author/s: Fernández Bariviera, Aurelio
Keywords: Varpso (variable particle swarm optimization) Particle swarm optimization Fuzzy rules Credit risk
Abstract: There is consensus that the best way for reducing insolvency situations in financial institutions is through good risk management, which involves a good client selection process. In the market, there are methodologies for credit scoring, each analyzing a large number of microeconomic and/or macroeconomic variables selected mostly depending on the type of credit to be granted. Since these variables are heterogeneous, the review process carried out by credit analysts takes time. The objective of this article is to propose a solution for this problem by applying fuzzy logic to the creation of classification rules for credit granting. To achieve this, linguistic variables were used to help the analyst interpret the information available from the credit officer. The method proposed here combines the use of fuzzy logic with a neural network and a variable population optimization technique to obtain fuzzy classification rules. It was tested with three databases from financial entities in Ecuador ¿ one credit and savings cooperative and two banks that grant various types of credits. To measure its performance, three benchmarks were used: accuracy, number of classification rules generated, and antecedent length. The results obtained indicate that the hybrid model that is proposed performs better than its previous versions due to the addition of fuzzy logic. At the end of the article, our conclusions are discussed and future research lines are suggested.
Thematic Areas: Software Matemática / probabilidade e estatística Interdisciplinar Information systems Engenharias iv Economia Control and systems engineering Computer science, artificial intelligence Ciência da computação Artificial intelligence
licence for use: https://creativecommons.org/licenses/by/3.0/es/
Author's mail: aurelio.fernandez@urv.cat
Author identifier: 0000-0003-1014-1010
Record's date: 2024-09-07
Papper version: info:eu-repo/semantics/acceptedVersion
Link to the original source: https://www.worldscientific.com/doi/epdf/10.1142/S0218488518400032
Licence document URL: https://repositori.urv.cat/ca/proteccio-de-dades/
Papper original source: International Journal Of Uncertainty Fuzziness And Knowledge-Based Systems. 26 39-57
APA: Jimbo Santana, Patricia; Lanzarini, Laura; Bariviera, Aurelio F.; (2018). Fuzzy Credit Risk Scoring Rules using FRvarPSO. International Journal Of Uncertainty Fuzziness And Knowledge-Based Systems, 26(), 39-57. DOI: 10.1142/S0218488518400032
Article's DOI: 10.1142/S0218488518400032
Entity: Universitat Rovira i Virgili
Journal publication year: 2018
Publication Type: Journal Publications