Credit Rating Model Based on Improved TabNet

Shijie Wang and Xueyong Zhang ()
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Shijie Wang: School of Finance, Central University of Finance and Economics, Beijing 102206, China
Xueyong Zhang: School of Finance, Central University of Finance and Economics, Beijing 102206, China

Mathematics, 2025, vol. 13, issue 9, 1-30

Abstract: Under the rapid evolution of financial technology, traditional credit risk management paradigms relying on expert experience and singular algorithmic architectures have proven inadequate in addressing complex decision-making demands arising from dynamically correlated multidimensional risk factors and heterogeneous data fusion. This manuscript proposes an enhanced credit rating model based on an improved TabNet framework. First, the Kaggle “Give Me Some Credit” dataset undergoes preprocessing, including data balancing and partitioning into training, testing, and validation sets. Subsequently, the model architecture is refined through the integration of a multi-head attention mechanism to extract both global and local feature representations. Bayesian optimization is then employed to accelerate hyperparameter selection and automate a parameter search for TabNet. To further enhance classification and predictive performance, a stacked ensemble learning approach is implemented: the improved TabNet serves as the feature extractor, while XGBoost (Extreme Gradient Boosting), LightGBM (Light Gradient Boosting Machine), CatBoost (Categorical Boosting), KNN (K-Nearest Neighbors), and SVM (Support Vector Machine) are selected as base learners in the first layer, with XGBoost acting as the meta-learner in the second layer. The experimental results demonstrate that the proposed TabNet-based credit rating model outperforms benchmark models across multiple metrics, including accuracy, precision, recall, F1-score, AUC (Area Under the Curve), and KS (Kolmogorov–Smirnov statistic).

Keywords: TabNet; stacking; credit rating; credit risk (search for similar items in EconPapers)
JEL-codes: C (search for similar items in EconPapers)
Date: 2025
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