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Application of profit-based credit scoring models using R

Author

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  • Selcuk Bayraci

    (R&D Centre, C/S Information Technologies, Istanbul, Turkey)

Abstract

In this study, we applied a profit-based scoring system with using 10 different statistical and machine learning algorithms on a consumer credit data of a Turkish commercial bank. RStudio environment and R packages have been used in data cleaning, feature selection and model implementation processes. The results of the study reveal that artificial neural networks model seems to be superior to other techniques in terms of profit maximization.

Suggested Citation

  • Selcuk Bayraci, 2017. "Application of profit-based credit scoring models using R," Romanian Statistical Review, Romanian Statistical Review, vol. 65(4), pages 3-28, December.
    • Handle: RePEc:rsr:journl:v:65:y:2017:i:4:p:3-28
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    References listed on IDEAS

    as
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    4. Daniel Berg, 2007. "Bankruptcy prediction by generalized additive models," Applied Stochastic Models in Business and Industry, John Wiley & Sons, vol. 23(2), pages 129-143, March.
    5. Martin Vojtek & Evžen Koèenda, 2006. "Credit-Scoring Methods (in English)," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 56(3-4), pages 152-167, March.
    6. S M Finlay, 2008. "Towards profitability: a utility approach to the credit scoring problem," Journal of the Operational Research Society, Palgrave Macmillan;The OR Society, vol. 59(7), pages 921-931, July.
    7. R T Stewart, 2011. "A profit-based scoring system in consumer credit: making acquisition decisions for credit cards," Journal of the Operational Research Society, Palgrave Macmillan;The OR Society, vol. 62(9), pages 1719-1725, September.
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    More about this item

    Keywords

    Data analytics; Credit scoring; Banking; Risk management;
    All these keywords.

    JEL classification:

    • C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
    • C40 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - General
    • C87 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Econometric Software

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