Dynamic Ensemble Learning for Credit Scoring: A Comparative Study
This work addresses credit scoring for peer-to-peer lending platforms, but it is incremental as it applies known dynamic selection methods to a new domain.
The study tackled the problem of credit scoring by benchmarking dynamic selection techniques for ensemble learning models, finding that these techniques boost performance, particularly in imbalanced training environments.
Automatic credit scoring, which assesses the probability of default by loan applicants, plays a vital role in peer-to-peer lending platforms to reduce the risk of lenders. Although it has been demonstrated that dynamic selection techniques are effective for classification tasks, the performance of these techniques for credit scoring has not yet been determined. This study attempts to benchmark different dynamic selection approaches systematically for ensemble learning models to accurately estimate the credit scoring task on a large and high-dimensional real-life credit scoring data set. The results of this study indicate that dynamic selection techniques are able to boost the performance of ensemble models, especially in imbalanced training environments.