An Automatic Credit Scoring Strategy (ACSS) using memetic evolutionary algorithm and neural architecture search

Abstract

Credit scoring is playing an increasingly critical role with the rising number of lending operations for micro and small enterprises as well as individuals. A large number of research is primarily based on the combination and construction methods of credit scoring models by the experts. However, different credit data have distinct requirements for the models, and how to automatically search and construct credit scoring models according to credit data has become essential, that is the main concern of this paper. In response to the current challenges for credit scoring research, we proposed an Automatic Credit Scoring Strategy (ACSS), designed a credit assessment platform which includes data import, classification model automatic search, feature selection, hyperparameter optimization, data mining, classification output and other modules. Aiming at the problem of substantial imbalance in credit data, we propose an improved SMOTE algorithm that is capable of generating supplementary data for the lack of minority in credit data, thereby making the credit data distribution well balanced. As for classification model selection, features engineering, parameter optimization and other parts, we further incorporate automatic search ways to reduce manual interaction. We utilize public and self-owned credit data sets to conduct experiments and compare them with the latest credit assessment methods. Extensive experiments have demonstrated that our ACSS method achieves relatively noticeable performance improvements using the German credit dataset, the Taiwan credit dataset and the personal credit dataset for credit scoring. The best results achieved by our proposed method are 0.98, 0.99, 0.895 and 0.901 for MAE, RMSE, accuracy and precision respectively. In addition, the experimental results also show that our proposed improved SMOTE algorithm contributes to the credit scoring performance enhancement. The experimental findings suggest that our proposed ACSS balances automation and accuracy, which can be implemented to the consumption industry to enhance the reliability of credit assessments.