Credit scoring model using machine learning
Di Giuseppe, Davide (A.A. 2020/2021) Credit scoring model using machine learning. Tesi di Laurea in Asset pricing, Luiss Guido Carli, relatore Paolo Porchia, pp. 140. [Master's Degree Thesis]
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Abstract/Index
Consumer default risk. Corporate default risk. Literature review. History of credit scoring. The FICO score and the limits of linear models. US corporate debt market. Machine learning and artificial intelligence. Model building. Data collection and data pre-processing. Exploratory data analysis: EDA and feature engineering. S.M.O.TE. and tomek link. Artificial neural network. Random forest classifier. Light gradient boosting machine classifier. Results interpretation. SHAP values. Model selection and interpretation. Probability calibration and rating classification.
References
Bibliografia: pp. 68-69.
| Thesis Type: | Master's Degree Thesis |
|---|---|
| Institution: | Luiss Guido Carli |
| Degree Program: | Master's Degree Programs > Master's Degree program in Corporate Finance, English language (LM-77) |
| Chair: | Asset pricing |
| Thesis Supervisor: | Porchia, Paolo |
| Thesis Co-Supervisor: | Pirra, Marco |
| Academic Year: | 2020/2021 |
| Session: | Summer |
| Deposited by: | Alessandro Perfetti |
| Date Deposited: | 17 Dec 2021 10:51 |
| Last Modified: | 17 Dec 2021 13:20 |
| URI: | https://tesi.luiss.it/id/eprint/30969 |
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