Journal
NEURAL COMPUTING & APPLICATIONS
Volume 28, Issue -, Pages S41-S50Publisher
SPRINGER
DOI: 10.1007/s00521-016-2304-x
Keywords
Supply chain finance; Credit risk; Small- and medium-sized enterprises; Core enterprises; Individual machine learning; Ensemble machine learning; Integrated ensemble machine learning
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Funding
- National Natural Science Foundation of China [71373072, 71501066]
- China Scholarship Council [201506135022]
- Specialized Research Fund for the Doctoral Program of Higher Education [20130161110031]
- Foundation for Innovative Research Groups of the National Natural Science Foundation of China [71221001]
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Supply chain finance (SCF) becomes more important for small-and medium-sized enterprises (SMEs) due to global credit crunch, supply chain financing woes and tightening credit criteria for corporate lending. Currently, predicting SME credit risk is significant for guaranteeing SCF in smooth operation. In this paper, we apply six methods, i.e., one individual machine learning (IML, i.e., decision tree) method, three ensemble machine learning methods [EML, i.e., bagging, boosting, and random subspace (RS)], and two integrated ensemble machine learning methods (IEML, i.e., RS-boosting and multiboosting), to predict SMEs credit risk in SCF and compare the effectiveness and feasibility of six methods. In the experiment, we choose the quarterly financial and non-financial data of 48 listed SMEs from Small and Medium Enterprise Board of Shenzhen Stock Exchange, six listed core enterprises (CEs) from Shanghai Stock Exchange and three listed CEs from Shenzhen Stock Exchange during the period of 2012-2013 as the empirical samples. Experimental results reveal that the IEML methods acquire better performance than IML and EML method. In particular, RS-boosting is the best method to predict SMEs credit risk among six methods.
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