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Multiple classifier application to credit risk assessment


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Expert Systems with Applications
Volume 37, Issue 4, April 2010, Pages 3326–3336

Multiple classifier application to credit risk assessment
Bhekisipho Twala


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1. Introduction
2. Classifiers
3. Multiple classifier system architect…
4. Related work
5. Experimental set-up
6. Discussion and conclusions


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Bhekisipho Twala

Corrigendum to “Multiple classifier application to credit risk assessment”
[Expert Systems with Applications 37 (4) (2010) 3326–3336]
Expert Systems with Applications, Volume 38, Issue 6, June 2011, Page 7909

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Credit risk prediction models seek to predict quality factors such as whether an individual will default (bad

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applicant) on a loan or not (good applicant). This can be treated as a kind of machine learning (ML)

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problem. Recently, the use of ML algorithms has proven to be of great practical value in solving a variety of
risk problems including credit risk prediction. One of the most active areas of recent research in ML has
been the use of ensemble (combining) classifiers. Research indicates that ensemble individual classifiers
lead to a significant improvement in classification performance by having them vote for the most popular
class. This paper explores the predicted behaviour of five classifiers for different types of noise in terms of
credit risk prediction accuracy, and how such accuracy could be improved by using classifier ensembles.
Benchmarking results on four credit datasets and comparison with the performance of each individual
classifier on predictive accuracy at various attribute noise levels are presented. The experimental
evaluation shows that the ensemble of classifiers technique has the potential to improve prediction

Machine learning; Supervised learning; Statistical pattern recognition; Ensemble; Credit risk prediction;
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