Beta-boosted ensemble for big credit scoring data

Maciej Zieba and Wolfgang Härdle

No 2016-052, SFB 649 Discussion Papers from Humboldt University Berlin, Collaborative Research Center 649: Economic Risk

Abstract: In this work we present a novel ensemble model for a credit scoring problem. The main idea of the approach is to incorporate separate beta binomial distributions for each of the classes to generate balanced datasets that are further used to construct base learners that constitute the final ensemble model. The sampling procedure is performed on two separate ranking lists, each for one class, where the ranking is based on prepotency of observing positive class. Two strategies are considered: one assumes mining easy examples and the second one forces good classification of hard cases. The proposed solutions are tested on two big datasets on credit scoring.

Keywords: credit scoring; ensemble model; beta distribution; Beta boost; big data (search for similar items in EconPapers)
JEL-codes: C53 (search for similar items in EconPapers)
Date: 2016
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