IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Login to save this article or follow this journal

Application Of Ant Colony Optimization To Credit Risk Assessment

  • YANNIS MARINAKIS

    ()

    (Decision Support Systems Laboratory, Department of Production Engineering and Management, Technical University of Crete, University Campus, 73100 Chania, Greece)

  • MAGDALENE MARINAKI

    ()

    (Industrial Systems Control Laboratory, Department of Production Engineering and Management, Technical University of Crete, University Campus, 73100 Chania, Greece)

  • CONSTANTIN ZOPOUNIDIS

    ()

    (Financial Engineering Laboratory, Department of Production Engineering and Management, Technical University of Crete, University Campus, 73100 Chania, Greece)

Registered author(s):

    This paper presents a novel approach to solve feature subset selection problems using an Ant Colony Optimization (ACO) algorithm. ACO is one of the important naturally inspired intelligent techniques. It is based on the foraging behavior of real ants in nature. The proposed ACO is combined with a number of nearest neighbor classifiers. The resulting ACO algorithm is applied to classify credit risk using data belonging to 1,411 firms obtained from a leading Greek commercial bank. The objective is to classify subject firms into several groups representing different levels of credit risk. The results of the proposed algorithm are compared with those of others including SVM, CART, and with two other metaheuristic algorithms using tabu search and genetic algorithms, both of which use nearest neighbor classifiers in the classification phase. The results suggest that the proposed method is more accurate than others that have been tested in classifying credit risk.

    If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

    File URL: http://www.worldscinet.com/cgi-bin/details.cgi?type=pdf&id=pii:S1793005708000957
    Download Restriction: Access to full text is restricted to subscribers.

    File URL: http://www.worldscinet.com/cgi-bin/details.cgi?type=html&id=pii:S1793005708000957
    Download Restriction: Access to full text is restricted to subscribers.

    As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

    Article provided by World Scientific Publishing Co. Pte. Ltd. in its journal New Mathematics and Natural Computation.

    Volume (Year): 04 (2008)
    Issue (Month): 01 ()
    Pages: 107-122

    as
    in new window

    Handle: RePEc:wsi:nmncxx:v:04:y:2008:i:01:p:107-122
    Contact details of provider: Web page: http://www.worldscinet.com/nmnc/nmnc.shtml

    Order Information: Email:


    No references listed on IDEAS
    You can help add them by filling out this form.

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    When requesting a correction, please mention this item's handle: RePEc:wsi:nmncxx:v:04:y:2008:i:01:p:107-122. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Tai Tone Lim)

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.