Three-stage ensemble model : reinforce predictive capacity without compromising interpretability
Autor(a) principal: | |
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Data de Publicação: | 2019 |
Tipo de documento: | Dissertação |
Idioma: | eng |
Título da fonte: | Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
Texto Completo: | http://hdl.handle.net/10362/71588 |
Resumo: | Thesis proposal presented as partial requirement for obtaining the Master’s degree in Statistics and Information Management, with specialization in Risk Analysis and Management |
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7160 |
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Three-stage ensemble model : reinforce predictive capacity without compromising interpretabilityEnsemble ModelingProbability of DefaultCredit ScoringScorecardLogistic RegressionDecision TreeArtificial Neural NetworkMultilayer PerceptronRandom ForestMachine LearningThesis proposal presented as partial requirement for obtaining the Master’s degree in Statistics and Information Management, with specialization in Risk Analysis and ManagementOver the last decade, several banks have developed models to quantify credit risk. In addition to the monitoring of the credit portfolio, these models also help deciding the acceptance of new contracts, assess customers profitability and define pricing strategy. The objective of this paper is to improve the approach in credit risk modeling, namely in scoring models to predict default events. To this end, we propose the development of a three-stage ensemble model that combines the results interpretability of the Scorecard with the predictive power of machine learning algorithms. The results show that ROC index improves 0.5%-0.7% and Accuracy 0%-1% considering the Scorecard as baseline.Henriques, Roberto André PereiraRUNSilvestre, Martinho de Matos2019-06-03T16:10:23Z2019-04-032019-04-03T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisapplication/pdfhttp://hdl.handle.net/10362/71588TID:202250768enginfo:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2024-03-11T04:33:40Zoai:run.unl.pt:10362/71588Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-20T03:35:12.903637Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse |
dc.title.none.fl_str_mv |
Three-stage ensemble model : reinforce predictive capacity without compromising interpretability |
title |
Three-stage ensemble model : reinforce predictive capacity without compromising interpretability |
spellingShingle |
Three-stage ensemble model : reinforce predictive capacity without compromising interpretability Silvestre, Martinho de Matos Ensemble Modeling Probability of Default Credit Scoring Scorecard Logistic Regression Decision Tree Artificial Neural Network Multilayer Perceptron Random Forest Machine Learning |
title_short |
Three-stage ensemble model : reinforce predictive capacity without compromising interpretability |
title_full |
Three-stage ensemble model : reinforce predictive capacity without compromising interpretability |
title_fullStr |
Three-stage ensemble model : reinforce predictive capacity without compromising interpretability |
title_full_unstemmed |
Three-stage ensemble model : reinforce predictive capacity without compromising interpretability |
title_sort |
Three-stage ensemble model : reinforce predictive capacity without compromising interpretability |
author |
Silvestre, Martinho de Matos |
author_facet |
Silvestre, Martinho de Matos |
author_role |
author |
dc.contributor.none.fl_str_mv |
Henriques, Roberto André Pereira RUN |
dc.contributor.author.fl_str_mv |
Silvestre, Martinho de Matos |
dc.subject.por.fl_str_mv |
Ensemble Modeling Probability of Default Credit Scoring Scorecard Logistic Regression Decision Tree Artificial Neural Network Multilayer Perceptron Random Forest Machine Learning |
topic |
Ensemble Modeling Probability of Default Credit Scoring Scorecard Logistic Regression Decision Tree Artificial Neural Network Multilayer Perceptron Random Forest Machine Learning |
description |
Thesis proposal presented as partial requirement for obtaining the Master’s degree in Statistics and Information Management, with specialization in Risk Analysis and Management |
publishDate |
2019 |
dc.date.none.fl_str_mv |
2019-06-03T16:10:23Z 2019-04-03 2019-04-03T00:00:00Z |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/masterThesis |
format |
masterThesis |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
http://hdl.handle.net/10362/71588 TID:202250768 |
url |
http://hdl.handle.net/10362/71588 |
identifier_str_mv |
TID:202250768 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.rights.driver.fl_str_mv |
info:eu-repo/semantics/openAccess |
eu_rights_str_mv |
openAccess |
dc.format.none.fl_str_mv |
application/pdf |
dc.source.none.fl_str_mv |
reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação instacron:RCAAP |
instname_str |
Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
instacron_str |
RCAAP |
institution |
RCAAP |
reponame_str |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
collection |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
repository.name.fl_str_mv |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
repository.mail.fl_str_mv |
|
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1799137973280702464 |