Credit risk assessment is a crucial task in bank risk management.By making lending decisions based on credit risk assessment results,banks can reduce the probability of non-performing loans.However,class imbalance in ...Credit risk assessment is a crucial task in bank risk management.By making lending decisions based on credit risk assessment results,banks can reduce the probability of non-performing loans.However,class imbalance in bank credit default datasets limits the predictive performance of traditional machine learning and deep learning models.To address this issue,this study employs the conditional variational autoencoder-Wasserstein generative adversarial network with gradient penalty(CVAE-WGAN-gp)model for oversampling,generating samples similar to the original default customer data to enhance model prediction performance.To evaluate the quality of the data generated by the CVAE-WGAN-gp model,we selected several bank loan datasets for experimentation.The experimental results demonstrate that using the CVAE-WGAN-gp model for oversampling can significantly improve the predictive performance in credit risk assessment problems.展开更多
基金supported by National Key R&D Program of China(2022YFA1008000)the National Natural Science Foundation of China(12571297,12101585)+1 种基金the CAS Talent Introduction Program(Category B)the Young Elite Scientist Sponsorship Program by CAST(YESS20220125).
文摘Credit risk assessment is a crucial task in bank risk management.By making lending decisions based on credit risk assessment results,banks can reduce the probability of non-performing loans.However,class imbalance in bank credit default datasets limits the predictive performance of traditional machine learning and deep learning models.To address this issue,this study employs the conditional variational autoencoder-Wasserstein generative adversarial network with gradient penalty(CVAE-WGAN-gp)model for oversampling,generating samples similar to the original default customer data to enhance model prediction performance.To evaluate the quality of the data generated by the CVAE-WGAN-gp model,we selected several bank loan datasets for experimentation.The experimental results demonstrate that using the CVAE-WGAN-gp model for oversampling can significantly improve the predictive performance in credit risk assessment problems.
