Credit Scoring using Machine Learning Approaches

This project will explore machine learning approaches that are used in creditscoring. In this study we consider consumer credit scoring instead of corporatecredit scoring and our focus is on methods that are currently used in practiceby banks such as logistic regression and decision trees and also compare theirperformance against machine learning approaches such as support vector machines (SVM), neural networks and random forests. In our models we addressimportant issues such as dataset imbalance, model overfitting and calibrationof model probabilities. The six machine learning methods we study are support vector machine, logistic regression, k-nearest neighbour, artificial neuralnetworks, decision trees and random forests. We implement these models inpython and analyse their performance on credit dataset with 30000 observations from Taiwan, extracted from the University of California Irvine (UCI)machine learning repository.