寇纲: Profit- and risk-driven credit scoring under parameter uncertainty: a multi-objective approach

报告时间： 2021年11月25日（星期四）下午14:30-16:00

报告地点：线上报告（腾讯会议：135 394 032）

报 告 人：寇纲

工作单位：西南财经大学

举办单位：合肥工业大学管理学院

报告简介：

Profit- and risk-driven credit scoring under parameter uncertainty: a multi-objective approach

Profit-driven machine learning models and profit-based performance measures have been widely used in credit scoring. When assessing the performance of a machine learning model for credit scoring, previous research typically assumes that the cost and benefit parameters, and their distributional information are available. However, in reality, these parameters and their distributions are often not exactly known. This paper considers the parameter uncertainty in the development of credit scoring models, and the estimation of profits and risks generated by employing those models. We propose a novel profit-based metric—the worst-case expected minimum cost (WEMC)—to estimate the profit of credit scoring models with uncertain parameters. Furthermore, we introduce the worst-case conditional value-at-risk measure (WCVaR) to measure the loss incurred from employing a classification model in credit scoring during the deterioration of cost parameters. A multi-objective feature-selection framework grounded on WEMC and WCVaR is then presented for model development. We employ twelve credit scoring datasets from multiple countries to compare the proposed methods, with feature selection methods that use metrics including the area under the receiver operating characteristic curve, the minimum cost, and the expected minimum cost as selection criteria. The results suggest that the proposed methods outperform other feature-selection methods in terms of cost and risk performance metrics.

报告人简介：

寇纲，教授，博士生导师。现任西南财经大学大数据研究院院长、工商管理学院执行院长、长江学者特聘教授、国家杰出青年科学基金获得者、全国MBA教育指导委员会委员、国务院享受政府特殊津贴专家。