Credit-Risk Prediction Model Using Hybrid Deep—Machine-Learning Based Algorithms

Abstract

Credit-risk prediction is one of the challenging tasks in the banking industry. In this study, a hybrid convolutional neural network—support vector machine/random forest/decision tree (CNN—SVM/RF/DT) model has been proposed for efficient credit-risk prediction. We proposed four classifiers to develop the model. A fully connected layer with soft-max trained using an end-to-end process makes up the first classifier and by deleting the final fully connected with soft-max layer, the other three classifiers—a SVM, RF, and DT classifier stacked after the flattening layer. Different parameter values were considered and fine-tuned throughout testing to select appropriate parameters. In accordance with the experimental findings, a fully connected CNN and a hybrid CNN with SVM, DT, and RF, respectively, achieved a prediction performance of 86.70%, 98.60%, 96.90%, and 95.50%. According to the results, our suggested hybrid method exceeds the fully connected CNN in its ability to predict credit risk.