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All Journal International Journal of Electrical and Computer Engineering
Wirot Yotsawat
Kasetsart University
Computer Science & IT Electrical & Electronics Engineering

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Improved credit scoring model using XGBoost with Bayesian hyper-parameter optimization Wirot Yotsawat; Pakaket Wattuya; Anongnart Srivihok
International Journal of Electrical and Computer Engineering (IJECE) Vol 11, No 6: December 2021
Publisher : Institute of Advanced Engineering and Science

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.11591/ijece.v11i6.pp5477-5487

Abstract

Several credit-scoring models have been developed using ensemble classifiers in order to improve the accuracy of assessment. However, among the ensemble models, little consideration has been focused on the hyper-parameters tuning of base learners, although these are crucial to constructing ensemble models. This study proposes an improved credit scoring model based on the extreme gradient boosting (XGB) classifier using Bayesian hyper-parameters optimization (XGB-BO). The model comprises two steps. Firstly, data pre-processing is utilized to handle missing values and scale the data. Secondly, Bayesian hyper-parameter optimization is applied to tune the hyper-parameters of the XGB classifier and used to train the model. The model is evaluated on four widely public datasets, i.e., the German, Australia, lending club, and Polish datasets. Several state-of-the-art classification algorithms are implemented for predictive comparison with the proposed method. The results of the proposed model showed promising results, with an improvement in accuracy of 4.10%, 3.03%, and 2.76% on the German, lending club, and Australian datasets, respectively. The proposed model outperformed commonly used techniques, e.g., decision tree, support vector machine, neural network, logistic regression, random forest, and bagging, according to the evaluation results. The experimental results confirmed that the XGB-BO model is suitable for assessing the creditworthiness of applicants.
Co-Authors Anongnart Srivihok Pakaket Wattuya