A novel ensemble model of multi-class credit assessment based on multi-source fusion theory

Abstract

With the development of artificial intelligence technology, the assessment method based on machine learning, especially the ensemble learning method, has attracted more and more attention in the field of credit assessment. However, most of the ensemble assessment models are complex in structure and costly in time for parameter tuning, few of them break through the limitations of lightweight, universal and efficient. This paper present a new ensemble model for personal credit assessment. First, considering the conflicts and differences among multiple sources of information, a new method is proposed to correct the category prior information by using the difference measure. Then, the revised prior information is fused with the current sample information with the help of Bayesian data fusion theory. The model can integrate the advantages of multiple benchmark classifiers to reduce the interference of uncertain information. To verify the effectiveness of the proposed model, several typical ensemble classification models are selected and empirically studied using real customer credit data from a commercial bank in China, and the results show that among various assessment criteria: the proposed model not only effectively improves the multi-class classification performance, but also outperforms other advanced multi-class classification credit assessment models in terms of parameter tuning and generalizability. This paper supports commercial banks and other financial institutions examination and approval work.