<abstract xmlns="http://www.w3.org/1999/xhtml">

<p>The use of credit for various occasions has become a routine in our lives. In return, banking and financial institutions require to determine whether the loan demands from them contain any risk. Accordingly, these institutions have been increased their activities in determining whether credit rating models from past credit records of the person applying for the loan works properly. Machine learning-based technologies have opened a new era in this field. AI and machine learning based methods for credit scoring are currently implemented by banking or non-banking financial institutions. Employed models are to extract meaningful features from the required data in which wide variety of information available. In this study, credit risk assessment is conducted using boosting methods such as CatBoost, XGBoost and Light GBM. To this aim, Kaggle Home Credit Default Risk dataset is used and the effect of crediting tendency on the results is also considered. The results have shown that gradient boosting methods provide results that are close to each other, and crediting tendency produces better AUC score in CatBoost while it causes a small decrement in AUC score of XGBoost and LightGBM.</p>
</abstract>

The use of credit for various occasions has become a routine in our lives. In return, banking and financial institutions require to determine whether the loan demands from them contain any risk. Accordingly, these institutions have been increased their activities in determining whether credit rating models from past credit records of the person applying for the loan works properly. Machine learning-based technologies have opened a new era in this field. AI and machine learning based methods for credit scoring are currently implemented by banking or non-banking financial institutions. Employed models are to extract meaningful features from the required data in which wide variety of information available. In this study, credit risk assessment is conducted using boosting methods such as CatBoost, XGBoost and Light GBM. To this aim, Kaggle Home Credit Default Risk dataset is used and the effect of crediting tendency on the results is also considered. The results have shown that gradient boosting methods provide results that are close to each other, and crediting tendency produces better AUC score in CatBoost while it causes a small decrement in AUC score of XGBoost and LightGBM.

Credit risk analysis using boosting methods

Graduate Student, Department of Statistics

Journal of Applied Mathematics, Statistics and Informatics

This work is licensed under the Creative Commons Attribution 4.0 International License.

{"article-title":"Credit risk analysis using boosting methods"}

The use of credit for various occasions has become a routine in our lives. In return, banking and financial institutions require to determine whether the loan...

Credit risk analysis using boosting methods

Published Online: Jun 09, 2023

Page range: 5 - 18

DOI: https://doi.org/10.2478/jamsi-2023-0001

Keywords
Credit risk, Boosting, Catboost, XGBoost, LightGBM

© 2023 S. B. Coşkun et al., published by Sciendo

This work is licensed under the Creative Commons Attribution 4.0 International License.

Credit risk analysis using boosting methods

Published Online: Jun 09, 2023

Page range: 5 - 18

DOI: https://doi.org/10.2478/jamsi-2023-0001

KeywordsCredit risk, Boosting, Catboost, XGBoost, LightGBM

© 2023 S. B. Coşkun et al., published by Sciendo

This work is licensed under the Creative Commons Attribution 4.0 International License.

Keywords
Credit risk, Boosting, Catboost, XGBoost, LightGBM