An Innovative Framework for Building Agency-Free Credit Rating Systems

Chia Hsiang Chang, Wei Chen Liou, William W.Y. Hsu, Jen Ying Shih, Chung Su Wu, Jan Ming Ho

研究成果: 書貢獻/報告類型會議論文篇章

1 引文 斯高帕斯(Scopus)

摘要

We develop an intelligent credit rating system that can provide debtors' rating information without involving credit rating agencies. Several models are used for credit scoring in our work, including the Duffie's model, logistic regression, and random forest. We compare the performance of these models and build an in-depth understanding of the evaluation of credit rating. Furthermore, we propose a new framework to evaluate the performance of credit ratings from multiple perspectives. The framework contains two components, defaulter recognition and rating quality. We use generic indices, area under curve (AUC) of receiver operating characteristics (ROC) and log loss, to evaluate the defaulter recognition ability of credit rating models. However, rating quality is more complicated than defaulter recognition. Inspired by rating agencies, we propose indices that reflect stability and migration of rating. We also adopt minimum default distance and rating path for evaluation of rating quality. Experimental results indicate that random forest (RF) has the best performance among the generic indices, but its stability is demonstrated to be 63% lower than the other two models. Similar results were found in the ratings path to default and minimum default distance. In this study, we specify a general evaluation framework of credit rating system and reveal the possibility of agency-free credit rating.

原文英語
主出版物標題Proceedings - 2017 IEEE 10th International Conference on Service-Oriented Computing and Applications, SOCA 2017
發行者Institute of Electrical and Electronics Engineers Inc.
頁面181-189
頁數9
ISBN(電子)9781538613269
DOIs
出版狀態已發佈 - 2017 十二月 28
事件10th IEEE International Conference on Service-Oriented Computing and Applications, SOCA 2017 - Kanazawa, 日本
持續時間: 2017 十一月 222017 十一月 25

出版系列

名字Proceedings - 2017 IEEE 10th International Conference on Service-Oriented Computing and Applications, SOCA 2017
2017-January

會議

會議10th IEEE International Conference on Service-Oriented Computing and Applications, SOCA 2017
國家/地區日本
城市Kanazawa
期間2017/11/222017/11/25

ASJC Scopus subject areas

  • 電腦網路與通信
  • 電腦科學應用
  • 硬體和架構
  • 資訊系統與管理

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