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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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.


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


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