APPLICATION OF ANT COLONY OPTIMIZATION TO CREDIT RISK ASSESSMENT

Yannis Marinakis (), Magdalene Marinaki () and Constantin Zopounidis ()
Additional contact information
Yannis Marinakis: Decision Support Systems Laboratory, Department of Production Engineering and Management, Technical University of Crete, University Campus, 73100 Chania, Greece
Magdalene Marinaki: Industrial Systems Control Laboratory, Department of Production Engineering and Management, Technical University of Crete, University Campus, 73100 Chania, Greece
Constantin Zopounidis: Financial Engineering Laboratory, Department of Production Engineering and Management, Technical University of Crete, University Campus, 73100 Chania, Greece

New Mathematics and Natural Computation (NMNC), 2008, vol. 04, issue 01, 107-122

Abstract: This paper presents a novel approach to solve feature subset selection problems using an Ant Colony Optimization (ACO) algorithm. ACO is one of the important naturally inspired intelligent techniques. It is based on the foraging behavior of real ants in nature. The proposed ACO is combined with a number of nearest neighbor classifiers. The resulting ACO algorithm is applied to classify credit risk using data belonging to 1,411 firms obtained from a leading Greek commercial bank. The objective is to classify subject firms into several groups representing different levels of credit risk. The results of the proposed algorithm are compared with those of others including SVM, CART, and with two other metaheuristic algorithms using tabu search and genetic algorithms, both of which use nearest neighbor classifiers in the classification phase. The results suggest that the proposed method is more accurate than others that have been tested in classifying credit risk.

Keywords: Ant Colony Optimization; feature selection problem; credit risk assessment; nearest neighbor based classifiers (search for similar items in EconPapers)
Date: 2008
References: View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.worldscientific.com/doi/abs/10.1142/S1793005708000957
Access to full text is restricted to subscribers

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:wsi:nmncxx:v:04:y:2008:i:01:n:s1793005708000957

Ordering information: This journal article can be ordered from

DOI: 10.1142/S1793005708000957

Access Statistics for this article

New Mathematics and Natural Computation (NMNC) is currently edited by Paul P Wang

More articles in New Mathematics and Natural Computation (NMNC) from World Scientific Publishing Co. Pte. Ltd.
Bibliographic data for series maintained by Tai Tone Lim ().