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- Title
A Machine Learning Model for Accurate Credit Risk Forecasting in Banking Systems: An Empirical Investigation.
- Authors
Hasni, Marwa; Aguir, Mohamed Salah; Babai, Mohamed Zied; Jemai, Zied
- Abstract
Credit risk consists is the expectation of losses stemming from the inability of a borrower to repay a loan. For the purpose of accurate control of credit risks, banking systems seek developing financial information portfolios upon their customers using sophisticated models which are not only restricted to collecting information on borrower's characteristics, but also, provide visibility on their respective default risk. This paper introduces a novel deep learning model to forecast the credit risk of company customers in banking systems. In particular, we develop a hybrid SVMLSTM based neural network that predicts the total turnover of a company given the historical data records of its economic and financial features within specific periods. Through an empirical investigation based on data of 13 Tunisian manufacturing and service companies, we show that our proposed model results in more accurate statistical performances compared to the standard LSTM and to the linear regression that is commonly used in the area of credit risk management.
- Subjects
MACHINE learning; CREDIT risk; DEEP learning; CREDIT risk management; COUNTERPARTY risk; CREDIT control
- Publication
International Journal of Supply & Operations Management, 2024, Vol 11, Issue 2, p168
- ISSN
2383-1359
- Publication type
Article
- DOI
10.22034/IJSOM.2023.109898.2722