期刊
INFORMATION SCIENCES
卷 507, 期 -, 页码 700-714出版社
ELSEVIER SCIENCE INC
DOI: 10.1016/j.ins.2018.08.001
关键词
Credit scoring; Business analytics; Three-way decisions; Probabilistic rough sets
资金
- Fondecyt [1160738, 1181036]
- Complex Engineering Systems Institute (CONICYT, PIA) [FB0816]
Credit scoring is a crucial task within risk management for any company in the financial sector. On the one hand, it is in the self-interest of banks to avoid approving credits to customers who probably default. On the other hand, regulators require strict risk management systems from banks to protect their customers and, from too big to fail institutions, to avoid bankruptcy with negative impacts on an economy as a whole. However, credit scoring is also expensive and time-consuming. So, any possible method, like three-way decisions, to further increase its efficiency, is worth a try. We propose a two-step approach based on three-way decisions. Customers whose credit applications can be approved or rejected right away are decided in a first step. For the remaining credit applications, additional information is gathered in a second step. Hence, these decisions are more expensive than the ones in the first step. In our paper, we present a methodology to apply three-way decisions with probabilistic rough sets for credit scoring and an extensive case study with more than 7000 credit applications from Chilean micro-enterprises. (C) 2018 Elsevier Inc. All rights reserved.
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