کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
6854079 1437327 2018 22 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
A Novel behavioral scoring model for estimating probability of default over time in peer-to-peer lending
ترجمه فارسی عنوان
یک مدل نمره دهی رفتاری رمان برای برآورد احتمال پیش فرض در طول زمان در اعطای وام دهی همکار
موضوعات مرتبط
مهندسی و علوم پایه مهندسی کامپیوتر هوش مصنوعی
چکیده انگلیسی
Traditional behavioral scoring models applying classification methods that yield a static probability of default may ignore the borrowers' dynamic characteristics because borrower repayment behavior evolves dynamically. In this study, we propose a novel behavioral scoring model based on a mixture survival analysis framework to predict the dynamic probability of default over time in peer-to-peer (P2P) lending. A random forest is utilized to identify whether a borrower will default, and a random survival forest is introduced to model the time to default. The results of an empirical analysis on a Chinese P2P loan dataset show that the proposed ensemble mixture random forest (EMRF) has a better performance in terms of predicting the monthly dynamic probability of default, while compared with standard mixture cure model, Cox proportional hazards model and logistic regression. It is also concluded that the proposed EMRF model provides a meaningful output for timely post-loan risk management.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Electronic Commerce Research and Applications - Volume 27, January–February 2018, Pages 74-82
نویسندگان
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