A novel dual-weighted fuzzy proximal support vector machine with application to credit risk analysis

Lean Yu (), Xiao Yao, Xiaoming Zhang, Hang Yin and Jia Liu

International Review of Financial Analysis, 2020, vol. 71, issue C

Abstract: In this paper, a novel dual-weighted fuzzy proximal support vector machine (FPSVM) model hybridizing fuzzy set theory (FST) and proximal support vector machine (PSVM) is proposed for credit risk analysis. In the proposed model, the fuzzy memberships are introduced into both objective function and constraint conditions of PSVM model to make full use of the information of data. Due to the introduction of fuzzy set theory, the FPSVM model shows fine generalized ability and great practical value. For verification purpose, two publicly available credit datasets are used to test the effectiveness of the proposed FPSVM method. Experimental results show that the proposed FPSVM outperforms other SVM models listed in this study, indicating that the proposed FPSVM model has rather good discriminatory power and it can be used as a promising tool for other classification tasks.

Keywords: Credit risk analysis; Support vector machine; Fuzzy memberships; Dual-weighted fuzzy PSVM (search for similar items in EconPapers)
Date: 2020
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Citations: View citations in EconPapers (5)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finana:v:71:y:2020:i:c:s1057521920302210

DOI: 10.1016/j.irfa.2020.101577

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