An Efficient Multi-layer Ensemble Framework with BPSOGSA-Based Feature Selection for Credit Scoring Data Analysis

Abstract

Credit scoring is extensively used by credit industries and financial institutions for financial decision-making. It is a way to assess the risk associated with an applicant based on historical data. However, the historical data may have large number of redundant and noisy features which could affect performance of credit scoring models. Main focus of this paper is to develop a hybrid credit scoring model by combining the feature selection and multi-layer ensemble classifier framework to improve the prediction performance of credit scoring model. The proposed hybrid credit scoring model uses hybrid binary particle swarm optimization and gravitational search algorithm (BPSOGSA) for feature selection and multi-layer ensemble classifier framework with five heterogeneous classifiers. A novel V-shaped transfer function for BPSOGSA is also designed for effective feature selection, which is used to transform the continuous search space to binary search space. Also, a novel fitness function for BPSOGSA is proposed to calculate the fitness value for each search agent. Further, multi-layer ensemble classifier framework along with a novel aggregation function is designed based on generalized convex function. The proposed hybrid credit scoring model is validated using Australian, German-categorical, German-numerical and Japanese credit scoring datasets. The experimental results on all the datasets demonstrate that the proposed credit scoring model outperforms other methods such as random forest and ensemble frameworks, namely majority voting, layered majority voting, weighted voting and layered weighted voting in terms of accuracy, sensitivity, G-measure and ROC characteristics.